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<SEC-DOCUMENT>0000900092-09-000191.txt : 20090508
<SEC-HEADER>0000900092-09-000191.hdr.sgml : 20090508
<ACCEPTANCE-DATETIME>20090508145959
ACCESSION NUMBER:		0000900092-09-000191
CONFORMED SUBMISSION TYPE:	N-CSRS
PUBLIC DOCUMENT COUNT:		7
CONFORMED PERIOD OF REPORT:	20090228
FILED AS OF DATE:		20090508
DATE AS OF CHANGE:		20090508
EFFECTIVENESS DATE:		20090508

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			BLACKROCK FLOATING RATE INCOME STRATEGIES FUND INC
		CENTRAL INDEX KEY:			0001259708
		IRS NUMBER:				000000000

	FILING VALUES:
		FORM TYPE:		N-CSRS
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-21413
		FILM NUMBER:		09809977

	BUSINESS ADDRESS:	
		STREET 1:		100 BELLEVUE PARKWAY
		CITY:			WILMINGTON
		STATE:			DE
		ZIP:			19809
		BUSINESS PHONE:		800-441-7762

	MAIL ADDRESS:	
		STREET 1:		100 BELLEVUE PARKWAY
		CITY:			WILMINGTON
		STATE:			DE
		ZIP:			19809

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	FLOATING RATE INCOME STRATEGIES FUND INC
		DATE OF NAME CHANGE:	20030813
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-CSRS
<SEQUENCE>1
<FILENAME>frafinal.htm
<DESCRIPTION>BR FLOATING RATE INCOME STRATEGIES FUND, INC.
<TEXT>

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   <TITLE>frafinal.htm - Generated by SEC Publisher for SEC Filing</TITLE>
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<P align="center">
<FONT face="ArialMT,Arial,Helvetica,sans-serif">UNITEDSTATES</FONT><BR>
<FONT face="ArialMT,Arial,Helvetica,sans-serif">SECURITIESANDEXCHANGECOMMISSION</FONT><BR>
<FONT face="ArialMT,Arial,Helvetica,sans-serif">Washington,D.C.20549</FONT><BR>
<BR>
<B><FONT face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">FORM N-CSRS</FONT></B><BR>
<BR>
<B><FONT face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT</FONT></B><BR>
<B><FONT face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">INVESTMENT COMPANIES</FONT></B></P>
<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Investment Company Act file number 811-21413</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Name of Fund: BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Name and address of agent for service: Donald C. Burke, Chief Executive Officer, BlackRock</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Floating Rate Income Strategies Fund, Inc., 800 Scudders Mill Road, Plainsboro, NJ 08536.</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Mailing address: P.O. Box 9011, Princeton, NJ 08543-9011</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Registrant&#146;s telephone number, including area code: (800) 882-0052, Option 4</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date of fiscal year end: 08/31/2009</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date of reporting period: 02/28/2009</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 1 &#150; Report to Stockholders</FONT></P>

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<BR>
<P align="left">
<FONT color="#231f20" size=1 face="DIN-Light,Arial,Helvetica,sans-serif">EQUITIES FIXED INCOME REAL ESTATE LIQUIDITY ALTERNATIVES BLACKROCK SOLUTIONS</FONT><BR>
<BR>
<FONT size=5 face="DIN-Regular,Arial,Helvetica,sans-serif">Semi-Annual Report</FONT><BR>
<BR>
<FONT face="DIN-Regular,Arial,Helvetica,sans-serif">FEBRUARY 28, 2009 | (UNAUDITED)</FONT></P>
<P align="left">
<FONT color="#005595" size=4 face="DIN-Regular,Arial,Helvetica,sans-serif">BlackRock Defined Opportunity Credit Trust (BHL)</FONT><BR>
<BR>
<FONT color="#005595" size=4 face="DIN-Regular,Arial,Helvetica,sans-serif">BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT><BR>
<BR>
<FONT color="#005595" size=4 face="DIN-Regular,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>
<BR>
<FONT color="#005595" size=4 face="DIN-Regular,Arial,Helvetica,sans-serif">BlackRock Limited Duration Income Trust (BLW)</FONT><BR>
<BR>
<FONT color="#005595" size=4 face="DIN-Regular,Arial,Helvetica,sans-serif">BlackRock Senior Floating Rate Fund, Inc.</FONT><BR>
<BR>
<FONT color="#005595" size=4 face="DIN-Regular,Arial,Helvetica,sans-serif">BlackRock Senior Floating Rate Fund II, Inc.</FONT></P>
<P align="left">
<FONT color="#231f20" size=1 face="DIN-Light,Arial,Helvetica,sans-serif">NOT FDIC INSURED</FONT><BR>
<BR>
<FONT color="#231f20" size=1 face="DIN-Light,Arial,Helvetica,sans-serif">MAY LOSE VALUE</FONT><BR>
<BR>
<FONT color="#231f20" size=1 face="DIN-Light,Arial,Helvetica,sans-serif">NO BANK GUARANTEE</FONT></P>

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<TABLE border=0 cellspacing=0>
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<FONT color="#005595" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Table of Contents</FONT>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
</TR>
<TR>
	<TD colspan=2>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#e3e7f2" align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD bgcolor="#e3e7f2" align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#005595" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Page</FONT></B>&nbsp;</TD>
</TR>
<TR>
	<TD colspan=2>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">A Letter to Shareholders</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">3</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Semi-Annual Report:</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund Summaries</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">4</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Benefits and Risks of Leveraging</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">10</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Derivative Instruments</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">11</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Disclosure of Expenses</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">11</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund Financial Statements</FONT>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
 &nbsp; &nbsp; &nbsp; &nbsp;<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Schedules of Investments</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">12</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
 &nbsp; &nbsp; &nbsp; &nbsp;<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statements of Assets and Liabilities</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">36</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
 &nbsp; &nbsp; &nbsp; &nbsp;<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statements of Operations</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">37</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
 &nbsp; &nbsp; &nbsp; &nbsp;<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statements of Changes in Net Assets</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">39</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
 &nbsp; &nbsp; &nbsp; &nbsp;<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statements of Cash Flows</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">42</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund Financial Highlights</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">43</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund Notes to Financial Statements</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">49</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Master Senior Floating Rate LLC Portfolio Summary</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">57</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Master Senior Floating Rate LLC Financial Statements:</FONT>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
 &nbsp; &nbsp; &nbsp; &nbsp;<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Schedule of Investments</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">58</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
 &nbsp; &nbsp; &nbsp; &nbsp;<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statement of Assets and Liabilities</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">64</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
 &nbsp; &nbsp; &nbsp; &nbsp;<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statement of Operations</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">65</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
 &nbsp; &nbsp; &nbsp; &nbsp;<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statements of Changes in Net Assets</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">67</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Master Senior Floating Rate LLC Financial Highlights</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">67</FONT>&nbsp;</TD>
</TR>
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	<TD align=left nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Master Senior Floating Rate LLC Notes to Financial Statements</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">68</FONT>&nbsp;</TD>
</TR>
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	<TD align=left nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Officers and Directors/Trustees</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">71</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Additional Information</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">72</FONT>&nbsp;</TD>
</TR>
</TABLE><BR>
<P align="left">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">2 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>

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<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>A Letter to Shareholders</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Dear Shareholder</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The present time may well be remembered as one of the most tumultuous periods in financial market history. Over the past year, the housing market</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>collapse and the ensuing credit crisis swelled into an all-out global financial market meltdown, featuring the collapse of storied financial firms, volatile</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>swings in the world&#146;s financial markets and monumental government actions, including the recent passage of the nearly $800 billion American Recovery</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Reinvestment Act of 2009.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The US economy appeared somewhat resilient through the first few months of 2008 before becoming mired in the worst recession in decades. The</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>economic data was dire across the board, but worse was the intensifying pace of deterioration in consumer spending, employment, manufacturing and</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other key indicators. US gross domestic product (GDP) contracted at an annual rate of 6.3% in the 2008 fourth quarter &#151; substantially below forecast and</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the worst reading since 1982. The Federal Reserve Board (the &#147;Fed&#148;) took forceful action to revive the global economy and financial system. In addition to</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>slashing the federal funds target rate from 3% to a record low range of 0% to 0.25%, the central bank provided enormous cash injections and significantly</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expanded its balance sheet via various lending and acquisition programs.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Against this backdrop, US equities contended with relentless market volatility, and the sentiment turned decisively negative toward period end. Declines</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>were significant and broad based, with little divergence among the returns for large and small cap stocks. Non-US stocks were not spared either, as the</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit crisis revealed itself to be global in nature and economic activity slowed dramatically.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Risk aversion remained the dominant theme in fixed income markets, leading the Treasury sector to top all other asset classes. The high yield market was</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>particularly hard hit in this environment, as economic turmoil, combined with frozen credit markets and substantial technical pressures, took a heavy toll.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Meanwhile, tax-exempt issues posted positive returns for the period, but the sector was not without significant challenges, including a shortage of market</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>participants, lack of liquidity, difficult funding environment and backlog of new-issue supply.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In all, investors continued to gravitate toward relative safety, as evidenced in the six- and 12-month returns of the major benchmark indexes:</FONT></P>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Returns as of February 28, 2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>6-month</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>12-month</FONT></B>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US equities (S&amp;P 500 Index)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(41.82)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(43.32)%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Small cap US equities (Russell 2000 Index)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(46.91)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(42.38)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International equities (MSCI Europe, Australasia, Far East Index)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(44.58)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(50.22)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Treasury securities (Merrill Lynch 10-Year US Treasury Index)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.52</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.09</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Taxable fixed income (Barclays Capital US Aggregate Bond Index*)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.88</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.06</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax-exempt fixed income (Barclays Capital Municipal Bond Index*)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.05</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.18</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>High yield bonds (Barclays Capital US Corporate High Yield 2% Issuer Capped Index*)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21.50)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(20.92)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* Formerly a Lehman Brothers index.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Through periods of market turbulence, as ever, BlackRock&#146;s full resources are dedicated to the management of our clients&#146; assets. For our most current</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>views on the economy and financial markets, we invite you to visit </FONT><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>www.blackrock.com/funds</FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>. We thank you for entrusting BlackRock with your investments,</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and we look forward to continuing to serve you in the months and years ahead.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sincerely,</FONT></P>
<IMG border=0 src="file1x3x1.jpg">
<BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rob Kapito</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>President, BlackRock Advisors, LLC</FONT></P>
<P align=left><FONT color=#6c6e70 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>THIS PAGE NOT PART OF YOUR FUND REPORT </FONT><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3</FONT></P>
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<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#005595 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of February 28, 2009 </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust</FONT></B><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Objective</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL) (the &#147;Fund&#148;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>seeks high current income, with a secondary objective of long-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>term capital appreciation.</FONT><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Performance</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2009, the Fund returned (20.79)% based on market price and (27.30)% based on net</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>asset value (&#147;NAV&#148;). For the same period, the Lipper Loan Participation Funds category posted an average return of (39.55)% on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a market price basis and (35.93)% on a NAV basis. The performance of the Lipper category does not necessarily correlate to that</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the Fund, as the Lipper group comprises both closed-end funds and unleveraged continuously offered closed-end funds. All</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>returns reflect reinvestment of dividends. The Fund&#146;s discount to NAV, which narrowed during the period, accounts for the differ-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ence between performance based on price and performance based on NAV. This semi-annual period was one of the most difficult</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in market history. Accordingly, the Fund was conservatively invested with an emphasis on more liquid credits and defensive market</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sectors, which aided relative performance for the six months.</FONT><BR>
<BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.</FONT><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="67%"></TD>
     <TD width="32%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbol on New York Stock Exchange</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>January 31, 2008</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on Closing Market Price as of February 28, 2009 ($9.35)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.44%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Monthly Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.1125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Annualized Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1.3500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Leverage as of February 28, 2009</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24%</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Past performance does not guarantee future results.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A change in the distribution rate was declared on March 2, 2009. The Monthly Distribution per Share was decreased to $0.0825. The Yield on</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The new distribution rate is not constant and is subject to further change in the future. A portion of the distribution may be deemed a tax return of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>capital or net realized gain.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Represents loans outstanding as a percentage of managed assets, which is the total assets of the Fund, including any assets attributable to any</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrowing that may be outstanding, minus the sum of accrued liabilities (other than debt representing financial leverage). For a discussion of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The table below summarizes the changes in the Fund&#146;s market price and NAV per share:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="30%"></TD>
     <TD width="28%"></TD>
     <TD width="11%"></TD>
     <TD width="11%"></TD>
     <TD width="10%"></TD>
     <TD width="7%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/08</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Change</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$9.35</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.66</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(26.15)%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13.29</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$6.53</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Asset Value</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$9.70</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.31</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(32.22)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.35</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.36</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following chart shows the portfolio composition of the Fund&#146;s long-term investments:</FONT><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="54%"></TD>
     <TD width="27%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/08</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>99%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>99%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
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<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#005595 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of February 28, 2009 </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc.</FONT></B><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Objective</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF) (the &#147;Fund&#148;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>seeks to provide investors with a high current income by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investing primarily in a diversified portfolio of floating rate debt securities and instruments, including floating or variable rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loans, bonds, preferred securities (including convertible preferred securities), notes or other debt securities or instruments that pay</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a floating rate of interest.</FONT><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Performance</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2009, the Fund returned (47.13)% based on market price and (53.82)% based on NAV.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of (39.55)% on a market</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>price basis and (35.93)% on a NAV basis. All returns reflect reinvestment of dividends. The Fund moved from a discount to a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>premium to NAV, which accounts for the difference between performance based on price and performance based on NAV. During</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the period, high yield bonds, which made up 48% of the Fund&#146;s portfolio as of February 28, 2009, performed inline with loans.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>This was neutral to performance, however, the Fund&#146;s allocation to high yield floating rate notes detracted, as these issues under-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>performed. The Fund was 25% leveraged as of February 28, 2009, amplifying its negative return during one of the most difficult</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>periods in market history. Credit quality also hampered results, as the Fund&#146;s average credit distribution was lower than that of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the market.</FONT><BR>
<BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.</FONT><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="67%"></TD>
     <TD width="32%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbol on New York Stock Exchange</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>January 31, 2005</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on Closing Market Price as of February 28, 2009 ($6.03)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24.88%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Monthly Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Annualized Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1.500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Leverage as of February 28, 2009</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25%</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Past performance does not guarantee future results.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A change in the distribution rate was declared on March 2, 2009. The Monthly Distribution per Share was decreased to $0.1150. The Yield on</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The new distribution rate is not constant and is subject to further change in the future. A portion of the distribution may be deemed a tax return of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>capital or net realized gain.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>As a percentage of managed assets, which is the total assets of the Fund, including any assets attributable to any borrowing that may be out-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>standing, minus the sum of accrued liabilities, other than debt representing financial leverage). For a discussion of leveraging techniques utilized</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the Fund, please see The Benefits and Risks of Leveraging on page 10.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The table below summarizes the changes in the Fund&#146;s market price and NAV per share:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="30%"></TD>
     <TD width="28%"></TD>
     <TD width="11%"></TD>
     <TD width="11%"></TD>
     <TD width="10%"></TD>
     <TD width="7%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/08</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Change</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$6.03</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.77</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(52.78)%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13.04</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$4.75</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Asset Value</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$5.75</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13.94</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(58.75)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13.94</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$5.73</FONT>&nbsp;</TD></TR></TABLE>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following charts show the portfolio composition of the Fund&#146;s long-term investments and credit quality allocations of the Fund&#146;s</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>corporate bond investments:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="56%"></TD>
     <TD width="24%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/08</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Stock</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non-U.S. Government Agency</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mortgage-Backed Securities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="53%"></TD>
     <TD width="28%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/08</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AA/Aa</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BBB/Baa</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB/Ba</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B/B</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>61</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC/Caa</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CC/Ca</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Not Rated</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using the higher of Standard &amp; Poor&#146;s (&#147;S&amp;P&#148;) or Moody&#146;s Investor</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Service (&#147;Moody&#146;s&#148;) ratings.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 5</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_7"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#005595 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of February 28, 2009 </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc</FONT></B><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Objective</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (the &#147;Fund&#148;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>seeks high current income and such preservation of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating rate debt securities and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instruments.</FONT><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Performance</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2009, the Fund returned (35.03)% based on market price and (37.26)% based on NAV.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of (39.55)% on a market</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>price basis and (35.93)% on a NAV basis. The performance of the Lipper category does not necessarily correlate to that of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund, as the Lipper group comprises both closed-end funds and unleveraged continuously offered closed-end funds. All returns</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reflect reinvestment of dividends. The Fund&#146;s discount to NAV, which narrowed during the period, accounts for the difference</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between performance based on price and performance based on NAV. The six-month period featured considerable volatility</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in credit markets. Consequently, the Fund was invested fairly conservatively in terms of credit and sector allocation, which</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>aided performance.</FONT><BR>
<BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.</FONT><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="67%"></TD>
     <TD width="32%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbol on New York Stock Exchange</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>October 31, 2003</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on Closing Market Price as of February 28, 2009 ($8.74)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15.77%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Monthly Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.114835</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Annualized Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1.378020</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Leverage as of February 28, 2009</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19%</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Past performance does not guarantee future results.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A change in the distribution rate was declared on March 2, 2009. The Monthly Distribution per Share was decreased to $0.104835. The Yield on</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The new distribution rate is not constant and is subject to further change in the future.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Represents loans outstanding as a percentage of managed assets, which is the total assets of the Fund, including any assets attributable to</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>any borrowing that may be outstanding, minus the sum of accrued liabilities (other than debt representing financial leverage). For a discussion</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The table below summarizes the changes in the Fund&#146;s market price and NAV per share:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="30%"></TD>
     <TD width="28%"></TD>
     <TD width="11%"></TD>
     <TD width="11%"></TD>
     <TD width="10%"></TD>
     <TD width="7%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/08</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Change</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.74</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.49</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(39.68)%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.68</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.79</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Asset Value</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$9.39</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16.12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(41.75)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16.12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.96</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following charts show the portfolio composition of the Fund&#146;s long-term investments and credit quality allocations of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s corporate bond investments:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="56%"></TD>
     <TD width="24%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/08</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>71%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non-U.S. Government Agency</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mortgage-Backed Securities</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Stocks</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="53%"></TD>
     <TD width="28%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/08</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AA/Aa</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BBB/Baa</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB/Ba</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B/B</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>59</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC/Caa</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CC/Ca</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>D</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Not Rated</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=right><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using the higher of S&amp;P&#146;s or Moody&#146;s ratings.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_8"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#005595 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of February 28, 2009 </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust</FONT></B><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Objective</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW) (the &#147;Fund&#148;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>seeks to provide current income and capital appreciation.</FONT><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Performance</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2009, the Fund returned (13.14)% based on market price and (20.15)% based on NAV.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of (34.08)%</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on a market price basis and (34.87)% on a NAV basis. All returns reflect reinvestment of dividends. The Fund&#146;s discount to NAV,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which narrowed during the period, accounts for the difference between performance based on price and performance based on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NAV. The Fund&#146;s 24% allocation to mortgage securities (as of February 28, 2009) helped relative performance dramatically,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as these issues outperformed high yield for the six-month period. The Fund employed very little leverage, which also proved</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>beneficial to performance.</FONT><BR>
<BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.</FONT><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="69%"></TD>
     <TD width="30%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbol on New York Stock Exchange</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>July 30, 2003</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on Closing Market Price as of February 28, 2009 ($11.96)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.03%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Monthly Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.10</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Annualized Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1.20</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>does not guarantee future results.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A change in the distribution rate was declared on March 2, 2009. The Monthly Distribution per Share was decreased to $0.09. The Yield on Closing</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>distribution rate is not constant and is subject to further change in the future. A portion of the distribution may be deemed a tax return of capital or</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>net realized gain.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The table below summarizes the Fund&#146;s market price and net asset value per share:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="30%"></TD>
     <TD width="28%"></TD>
     <TD width="11%"></TD>
     <TD width="11%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/08</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Change</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11.96</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.57</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(17.91)%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.83</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.83</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Asset Value</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.61</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16.71</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(24.54)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16.81</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11.86</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following charts show the portfolio composition of the Fund&#146;s long-term investments and credit quality allocations of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s corporate bond investments:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="57%"></TD>
     <TD width="23%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=center><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/08</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>44%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Government Agency</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mortgage-Backed Securities</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Government Obligations</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign Government Obligations</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="53%"></TD>
     <TD width="28%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>3</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/08</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AAA/Aaa</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BBB/Baa</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB/Ba</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B/B</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>44</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC/Caa</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>C/C</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Not Rated</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using the higher of S&amp;P&#146;s or Moody&#146;s ratings.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 7</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_9"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#005595 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of February 28, 2009 </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund, Inc.</FONT></B><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Objective</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund, Inc. (the &#147;Fund&#148;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is a continuously offered closed-end fund that seeks high current income</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and such preservation of capital as is consistent with investment in senior collateralized corporate loans made by banks and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other financial institutions.</FONT><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Performance</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2009, the Fund returned (22.69)% based on NAV. For the same period, the closed-end</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lipper Loan Participation Funds category posted an average return of (35.93)% on a NAV basis. All returns reflect reinvestment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of dividends. The Fund employed no leverage during the six months, while the Lipper category comprises primarily leveraged</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closed-end funds. This had a huge impact on relative performance during the first three months of the reporting period &#151;</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>notably, the worst period in market history. In general, the Fund was defensively positioned with respect to sector allocation,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and was broadly diversified among individual credits. This aided performance in the first half, but detracted as performance</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>improved during the final two months.</FONT><BR>
<BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.</FONT><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B><B><SUP><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="67%"></TD>
     <TD width="32%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>November 3, 1989</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield based on Net Asset Value as of February 28, 2009 ($5.95)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.60%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Monthly Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.030132</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Annualized Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.392792</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund is a continuously offered closed-end fund that does not trade on an exchange.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield based on net asset value is calculated by dividing the current annualized distribution per share by the net asset value.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Past performance does not guarantee future results.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The distribution is not constant and is subject to change.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The table below summarizes the change in the Fund&#146;s NAV per share:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="30%"></TD>
     <TD width="28%"></TD>
     <TD width="11%"></TD>
     <TD width="11%"></TD>
     <TD width="9%"></TD>
     <TD width="7%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/08</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Change</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Asset Value</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$5.95</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.98</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(25.44)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.98</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$5.54</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expense Example for Continuously Offered Closed-End Funds</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="24%"></TD>
     <TD width="15%"></TD>
     <TD width="11%"></TD>
     <TD width="13%"></TD>
     <TD width="13%"></TD>
     <TD width="11%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Actual</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hypothetical</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>5</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beginning</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ending</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beginning</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ending</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses Paid</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses Paid</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; September 1, 2008&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;February 28,2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>During the Period</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; September 1, 2008&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; February 28,2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>During the Period</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate, Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$773.10</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$6.66</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,017.39</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.57</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expenses are equal to the annualized expense ratio of 1.51%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period shown). Because the Fund is a feeder fund, the expense table reflects the expenses of both the feeder fund and the Master LLC in which it invests.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See &#147;Disclosure of Expenses for Continuously Offered Closed-End Funds&#148; on page 11 for further information on how expenses were calculated.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#005595 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of February 28, 2009 </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund II, Inc.</FONT></B><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Objective</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund II, Inc. (the &#147;Fund&#148;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is a continuously offered closed-end fund that seeks high current</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income and such preservation of capital as is consistent with investment in senior collateralized corporate loans made by banks</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and other financial institutions.</FONT><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Performance</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2009, the Fund returned (22.75)% based on NAV. For the same period, the closed-end</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lipper Loan Participation Funds category posted an average return of (35.93)% on a NAV basis. All returns reflect reinvestment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of dividends. The Fund employed no leverage during the six months, while the Lipper category comprises primarily leveraged</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closed-end funds. This had a huge impact on relative performance during the first three months of the reporting period &#151;</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>notably, the worst period in market history. In general, the Fund was defensively positioned with respect to sector allocation,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and was broadly diversified among individual credits. This aided performance in the first half, but detracted as performance</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>improved during the final two months.</FONT><BR>
<BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.</FONT></P>
<P align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B><B><SUP><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="68%"></TD>
     <TD width="31%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March 26, 1999</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield based on Net Asset Value as of February 28, 2009 ($6.44)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.46%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Monthly Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.031926</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Annualized Distribution per Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.416178</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund is a continuously offered closed-end fund that does not trade on an exchange.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield based on net asset value is calculated by dividing the current annualized distribution per share by the net asset value.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Past performance does not guarantee future results.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The distribution is not constant and is subject to change.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The table below summarizes the change in the Fund&#146;s NAV per share:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="30%"></TD>
     <TD width="28%"></TD>
     <TD width="11%"></TD>
     <TD width="11%"></TD>
     <TD width="9%"></TD>
     <TD width="7%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/08</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Change</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Asset Value</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$6.44</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.67</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(25.72)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.67</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$6.02</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expense Example for Continuously Offered Closed-End Funds</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="25%"></TD>
     <TD width="15%"></TD>
     <TD width="11%"></TD>
     <TD width="13%"></TD>
     <TD width="13%"></TD>
     <TD width="11%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Actual</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hypothetical</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>5</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beginning</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ending</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beginning</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ending</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses Paid</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses Paid</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;September 1, 2008&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; February 28,2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>During the Period</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; September 1, 2008&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;February 28,2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>During the Period</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate II, Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$772.50</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.30</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,016.56</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.30</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expenses are equal to the annualized expense ratio of 1.67%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period shown). Because the Fund is a feeder fund, the expense table reflects the expenses of both the feeder fund and the Master LLC in which it invests.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See &#147;Disclosure of Expenses for Continuously Offered Closed-End Funds&#148; on page 11 for further information on how expenses were calculated.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 9</FONT></P>
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<FONT color="#005595" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">The Benefits and Risks of Leveraging</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Defined Opportunity Credit Trust, BlackRock Diversified Income</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund, Inc.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and BlackRock Limited Duration Income Trust (each a &#147;Fund&#148; and collec-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tively, the &#147;Funds&#148;) may utilize leverage to seek to enhance the yield and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">NAV of its Common Shares. However, these objectives cannot be achieved</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">in all interest rate environments.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Funds may utilize leverage through borrowings and the issuance of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">short-term debt securities. In general, the concept of leveraging is based</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">on the premise that the cost of assets to be obtained from leverage will be</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">based on short-term interest rates, which normally will be lower than the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">income earned by each Fund on its longer-term portfolio investments. To</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the extent that the total assets of the Fund (including the assets obtained</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">from leverage) are invested in higher-yielding portfolio investments, the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund&#146;s shareholders will benefit from the incremental yield.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The interest earned on securities purchased with the proceeds from lever-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">age is paid to Common Shareholders in the form of dividends, and the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">value of these portfolio holdings is reflected in the per share NAV of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund&#146;s Common Shares. However, in order to benefit Common Share-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">holders, the yield curve must be positively sloped; that is, short-term inter-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">est rates must be lower than long-term interest rates. If the yield curve</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">becomes negatively sloped, meaning short-term interest rates exceed long-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">term interest rates, returns to Common Shareholders will be lower than if</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the Fund had not used leverage.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">To illustrate these concepts, assume a Fund&#146;s Common Shares capitaliza-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tion is &#36;100 million and it issues debt securities for an additional &#36;30 mil-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">lion, creating a total value of &#36;130 million available for investment in long-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">term securities. If prevailing short-term interest rates are 3% and long-term</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">interest rates are 6%, the yield curve has a strongly positive slope. In this</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">case, the Fund pays interest expense on the &#36;30 million of debt securities</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">based on the lower short-term interest rates. At the same time, the Fund&#146;s</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">total portfolio of &#36;130 million earns the income based on long-term inter-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">est rates. In this case, the interest expense of the debt securities is signifi-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">cantly lower than the income earned on the fund&#146;s long-term investments,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and therefore the Common Shareholders are the beneficiaries of the incre-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">mental yield.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Conversely, if prevailing short-term interest rates rise above long-term inter-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">est rates of 6%, the yield curve has a negative slope. In this case, the Fund</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">pays interest expense on the higher short-term interest rates whereas the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund&#146;s total portfolio earns income based on lower long-term interest rates.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">If short-term interest rates rise, narrowing the differential between short-term</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and long-term interest rates, the incremental yield pickup on the Common</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Shares will be reduced or eliminated completely.</FONT></P>
<P align="left">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Furthermore, the value of the Fund&#146;s portfolio investments generally varies</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">inversely with the direction of long-term interest rates, although other fac-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tors can influence the value of portfolio investments. In contrast, the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">redemption value of the Fund&#146;s debt securities do not fluctuate in relation</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to interest rates. As a result, changes in interest rates can influence the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund&#146;s NAV positively or negatively in addition to the impact on Fund per-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">formance from leverage from debt securities.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The use of leverage may enhance opportunities for increased returns to the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Funds and Common Shareholders, but as described above, it also creates</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">risks as short- or long-term interest rates fluctuate. Leverage also will gen-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">erally cause greater changes in a Funds&#146; NAV, market price and dividend</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">rate than a comparable portfolio without leverage. If the income derived</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">from securities purchased with assets received from leverage exceeds the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">cost of leverage, the Funds&#146; net income will be greater than if leverage had</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">not been used. Conversely, if the income from the securities purchased is</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">not sufficient to cover the cost of leverage, the Funds&#146; net income will be</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">less than if leverage had not been used, and therefore the amount avail-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">able for distribution to shareholders will be reduced. The Funds may be</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">required to sell portfolio securities at inopportune times or below fair mar-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ket values in order to comply with regulatory requirements applicable to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the use of leverage or as required by the terms of leverage instruments</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">which may cause the Funds to incur losses. The use of leverage may limit a</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Funds&#146; ability to invest in certain types of securities or use certain types of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">hedging strategies. The Funds will incur expenses in connection with the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">use of leverage, all of which are borne by the holders of the Common</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Shares and may reduce returns on the Common Shares.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Under the Investment Company Act of 1940, the Funds are permitted to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">borrow through a credit facility and the issuance of short-term debt securities</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">up to 33</FONT><FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif"><SUP> 1 </SUP>/<SUB> 3 </SUB></FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">% of total managed assets. As of February 28, 2009, BlackRock</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Limited Duration Income Trust had no outstanding leverage and the other</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Funds had outstanding leverage from credit facility borrowings as a per-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">centage of total managed assets as follows:</FONT></P>
<TABLE border=0 cellspacing=0>
<TR>
     <TD width=73%></TD>
     <TD width=26%></TD></TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=right nowrap>
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Percent of</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Leverage</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Defined Opportunity Credit Trust</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">24%</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Diversified Income Strategies Fund, Inc</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">25%</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc</FONT>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">19%</FONT>&nbsp;</TD>
</TR>
</TABLE><BR>
<P align="left">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">10 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>

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<FONT color="#005595" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Derivative Instruments</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Funds may invest in various derivative instruments, including swap</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">agreements, futures and forward currency contracts, and other instruments</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">specified in the Notes to Financial Statements, which constitute forms of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">economic leverage. Such instruments are used to obtain exposure to a</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">market without owning or taking physical custody of securities or to hedge</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">market and/or interest rate risks. Such derivative instruments involve risks,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">including the imperfect correlation between the value of a derivative instru-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ment and the underlying asset, possible default of the other party to the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">transaction and illiquidity of the derivative instrument. The Funds&#146; ability to</FONT></P>
<P align="left">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">successfully use a derivative instrument depends on the Advisor&#146;s ability to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">accurately predict pertinent market movements, which cannot be assured.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The use of derivative instruments may result in losses greater than if they</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">had not been used, may require the Funds to sell or purchase portfolio</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">securities at inopportune times or for prices other than current market</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">values, may limit the amount of appreciation the Funds can realize on</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">an investment or may cause the Funds to hold a security that it might</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">otherwise sell. The Funds&#146; investments in these instruments are discussed</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">in detail in the Notes to Financial Statements.</FONT></P>
<P align="left">
<FONT color="#005595" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Disclosure of Expenses for Continuously Offered Closed-End Funds</FONT></P>
<P align="left">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Shareholders of BlackRock Senior Floating Rate Fund, Inc. and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Senior Floating Rate Fund II, Inc. may incur the following charges:</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(a) expenses related to transactions, including early withdrawal fees; and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(b) operating expenses, including advisory fees, and other Fund expenses.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The examples on pages 8 and 9 (which are based on a hypothetical invest-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ment of &#36;1,000 invested on September 1, 2008 and held through</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">February 28, 2009) are intended to assist shareholders both in calculating</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">expenses based on an investment in each Fund and in comparing</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">these expenses with similar costs of investing in other mutual funds.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The tables provide information about actual account values and actual</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">expenses. In order to estimate the expenses a shareholder paid during</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the period covered by this report, shareholders can divide their account</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">value by &#36;1,000 and then multiply the result by the number under the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">heading entitled &#147;Expenses Paid During the Period.&#148;</FONT></P>
<P align="left">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The tables also provide information about hypothetical account values and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">hypothetical expenses based on each Fund&#146;s actual expense ratio and an</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">assumed rate of return of 5% per year before expenses. In order to assist</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">shareholders in comparing the ongoing expenses of investing in these</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Funds and other funds, compare the 5% hypothetical example with the 5%</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">hypothetical examples that appear in other funds&#146; shareholder reports.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The expenses shown in the tables are intended to highlight shareholders&#146;</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ongoing costs only and do not reflect any transactional expenses, such</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">as early withdrawal fees. Therefore, the hypothetical examples are useful</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">in comparing ongoing expenses only, and will not help shareholders deter-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">mine the relative total expenses of owning different funds. If these trans-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">actional expenses were included, shareholder expenses would have</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">been higher.</FONT></P>
<P align="left">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">SEMI-ANNUAL REPORT FEBRUARY 28, 2009 11</FONT></P>

<HR noshade align="center" width="100%" size=2>


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<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#005595 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>February 28, 2009 (Unaudited)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="9%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#151; 1.8%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avio S.p.A. Facility:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B2, 2.604%, 12/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>471</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>243,834</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>C2, 3.229%, 12/14/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>258,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawker Beechcraft Acquisition Co. LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Facility Deposit, 2.10%, 3/26/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>61,807</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.479% &#150; 3.459%, 3/26/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,291</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,052,566</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,616,957</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 2.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allison Transmission, Inc. Term Loan, 3.20%, 8/07/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,199</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,456,534</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dana Holding Corp. Term Advance,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50% &#150; 7.25%, 1/31/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,321</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>402,071</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goodyear Tire &amp; Rubber Co., The Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.23%, 4/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>521,518</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,380,123</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Automobiles &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Co. Term Loan, 5%, 12/15/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>992</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>317,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Materials Corp. of America Term Loan Advance,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.625% &#150; 3.875%, 2/22/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>745</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>507,849</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Momentive Performance Materials (Blitz 06-103 GMBH)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 3.803%, 12/04/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>790,229</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,298,078</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nuveen Investments, Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.479% &#150; 4.466%, 11/13/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,310</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>617,619</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 5.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brenntag Holding Gmbh &amp; Co. KG Facility B2,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.47% &#150; 3.501%, 1/20/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>790,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cognis GMBH Facility C, 3.996%, 9/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>587,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Huish Detergents Inc. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.17%, 4/26/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>992</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>840,269</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matrix Acquisition Corp. (MacDermid, Inc.)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 2.479%, 4/12/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,712</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,010,017</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PQ Corp. (fka Niagara Acquisition, Inc.):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 7.68%, 7/30/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 4.43% &#150; 4.71%, 7/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>995</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>594,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia Inc. Loan, 8.50%, 2/28/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>992</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>637,669</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,809,968</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 4.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alliance Laundry Systems LLC Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.35% &#150; 3.59%, 1/27/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>842</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>686,316</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aramark Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Facility, 2.038%, 1/26/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>119</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>103,208</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Term Loan, 3.334%, 1/26/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,881</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,624,570</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kion Group GMBH (formerly Neggio Holdings 3 GMBH):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B, 2.479%, 12/29/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>170,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C, 2.979%, 12/29/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>170,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synagro Technologies, Inc. Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.45%, 4/02/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>992</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>553,287</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>West Corp. Term B-2 Loan, 2.82% &#150; 2.854%, 10/24/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>988</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>722,953</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,030,334</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Computers &amp; Peripherals &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intergraph Corp. Initial Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.256%, 5/29/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>855,000</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="9%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 3.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown Americas LLC Additional Term B Dollar Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.205%, 11/15/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>442,109</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graphic Packaging International, Inc. Incremental Term</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 3.203% &#150; 4.185%, 5/16/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,480</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,261,557</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit Kappa Acquisitions (JSG):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>C1 Term Loan Facility, 3.678% &#150; 5.28%, 7/16/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>466,426</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B1, 3.428% &#150; 5.03%, 7/16/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>466,426</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit-Stone Container TLB, 8.75%, 2/03/10</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>435</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>432,281</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,068,799</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Corp. Term Loan, 3.47% &#150; 4.26%, 11/14/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,489</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>967,669</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#151; 5.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BCM Ireland Holdings Ltd. (Eircom):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B, 3.428%, 8/14/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>493</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>416,914</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C, 3.678%, 8/14/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>492</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>416,961</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawaiian Telcom Communications, Inc. Tranche C</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.75%, 5/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>208,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Integra Telecom Holdings, Inc. Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.506% &#150; 7.219%, 8/31/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,982</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,189,462</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PAETEC Holding Corp. Replacement Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.979%, 2/28/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>970</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>703,345</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Time Warner Telecom Holdings Inc. Term Loan B Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.48%, 1/07/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>910,639</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wind Finance SL S.A. Euro Facility (Second Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.473%, 12/17/14</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,097,923</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,943,682</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Astoria Generating Co. Acquisitions, LLC Second Lien</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 4.23%, 8/23/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>540,937</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment &amp; Instruments &#151; 2.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Flextronics International Ltd.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A Closing Date Loan, 3.344% &#150; 3.685%, 10/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>765</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>501,144</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delay Draw Term Loan, 3.344%, 10/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>144,007</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>L-1 Identity Solutions Operating Co. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 8/05/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>370</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>339,762</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matinvest 2 SAS/Butterfly Wendel US, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Deutsche Connector):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B-2 Facility, 2.695%, 6/22/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>909</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>609,205</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>C-2 Facility, 3.195%, 6/22/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>751</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503,360</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,097,478</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#151; 1.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dresser, Inc. Term B Loan, 2.729% &#150; 3.488%, 5/04/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,488</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,068,565</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Volnay Acquisition Co. I (aka CGG) B1 Term Loan Facility,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.906% &#150; 5.428%, 1/12/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>702</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>605,528</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,674,093</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AB Acquisitions UK Topco 2 Ltd Facility B2 UK</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrower, 4.161%, 7/09/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,005,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#151; 1.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dole Food Co., Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit-Linked Deposit, 2.13%, 4/12/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>74</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,941</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 2.50% &#150; 4.25%, 4/12/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>130</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>116,575</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solvest, Ltd. (Dole) Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.563% &#150; 4.25%, 4/12/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>485</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>434,324</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wm. Wrigley Jr. Co. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 10/06/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>493,334</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,110,174</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_14"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="9%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#151; 3.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bausch &amp; Lomb Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 4.709%, 4/24/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>127,664</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Parent Term Loan, 4.709%, 4/24/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>988</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>842,580</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Biomet, Inc. Dollar Term Loan, 4.459%, 3/25/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>977</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>870,064</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC (ReAble Therapeutics Fin LLC) Term</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 3.479% &#150; 4.459%, 5/20/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>990</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>823,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hologic, Inc. Tranche B Term Loan, 3.75%, 3/31/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>254</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>228,521</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,892,179</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 8.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.729%, 7/25/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>168</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>142,069</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Term Loan, 2.729% &#150; 3.506%, 7/25/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,292</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,787,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A-1 Term Loan, 3.459%, 11/17/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,963</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,708,546</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 3.709%, 11/18/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>961</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>809,761</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HealthSouth Corp. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.95% &#150; 4.69%, 3/10/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,762</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,554,935</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Surgical Care Affiliates, LLC Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.459%, 12/29/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>296,985</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbion, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 3.729%, 8/23/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>477</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>238,378</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 3.729%, 8/25/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>477</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>238,378</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,776,427</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunquest Information Systems, Inc. (Misys Hospital</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Systems, Inc.) Term Loan, 3.73% &#150; 4.21%, 10/13/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>494</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>395,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#151; 3.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrah&#146;s Operating Co., Inc. Term B-2 Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.159% &#150; 4.459%, 1/28/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,729</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,005,931</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Penn National Gaming, Inc. Term Loan B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.23% &#150; 2.99%, 10/03/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>985</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>886,928</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>QCE, LLC (Quiznos) Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.75%, 5/05/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>992</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>547,220</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>VML US Finance LLC (aka Venetian Macau) Term B:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Project Loan, 2.73%, 5/25/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>181</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>104,014</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Project Loan, 2.73%, 5/27/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>319</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>183,714</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,727,807</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#151; 2.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jarden Corp. Term Loan B3, 3.959%, 1/24/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,733</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,564,501</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yankee Candle Co., Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.42% &#150; 3.47%, 2/06/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,606</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>974,197</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,538,698</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Products &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>VI-JON, Inc. (VJCS Acquisition, Inc.) Tranche B</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.72%, 4/24/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#151; 8.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amadeus Global Travel Distribution SA:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.419%, 5/22/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>969</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550,393</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 2.919%, 5/22/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>969</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550,393</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amadeus IT Group SA/Amadeus Verwaltungs GmbH:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B3 Facility, 3.747%, 6/30/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>308</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>233,198</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B4 Facility, 3.747%, 6/30/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>186</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>141,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term C3 Facility, 4.247%, 6/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>308</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>233,198</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term C3 Facility, 4.247%, 6/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>186</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>141,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ceridian Corp U.S. Term Loan, 3.47%, 11/09/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,380,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp. Initial Tranche:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B-2 Term Loan, 3.223% &#150; 3.229%, 9/24/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,724</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,788,577</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B-3 Term Loan, 3.223% &#150; 3.229%, 9/24/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>991</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>647,588</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="62%"></TD>
     <TD width="8%"></TD>
     <TD width="9%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services (concluded)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SunGard Data Systems Inc. (Solar Capital Corp.)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New US Term Loan:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.198% &#150; 2.991%, 2/28/14</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,982</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,658,528</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 2/28/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>249</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>229,924</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,554,237</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp;</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Traders &#151; 6.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dynegy Holdings Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Letter of Credit Facility Term Loan, 1.98%, 4/02/13</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>208</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>172,078</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 1.98%, 4/02/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,994</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mirant North America, LLC Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.229%, 1/03/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>748</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>681,636</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit-Linked Deposit, 1.60%, 2/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>164</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150,182</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 1.869% &#150; 2.959%, 2/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,738</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,595,512</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Texas Competitive Electric Holdings Co., LLC (TXU):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.948% &#150; 4.451%, 10/10/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>496</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>309,338</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.948% &#150; 4.451%, 10/10/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,702</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,933,110</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,855,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp. Term Loan, 3.67% &#150; 3.70%, 12/03/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>990</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>603,718</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alliant Holdings I, Inc. Term Loan, 4.459%, 8/21/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>990</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>742,481</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Internet &amp; Catalog Retail &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FTD Group, Inc. Tranche B Term Loan, 6.75%, 8/04/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>249</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>213,216</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Life Sciences Tools &amp; Services &#151; 1.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Life Technologies Corp. Term B Facility,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 11/20/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,247</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,220,379</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 3.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LN Acquisition Corp. (Lincoln Industrial):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.95%, 7/11/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>269</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>216,252</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial U.S. Term Loan (First Lien), 2.95%, 7/11/14</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>716</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>576,673</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navistar International Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolving Credit-Linked Deposit,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.677% &#150; 3.729%, 1/19/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>533</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>381,778</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Advance, 3.729%, 1/19/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,467</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,049,888</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Oshkosh Truck Corp. Term B Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.20% &#150; 3.95%, 12/06/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>892</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>624,070</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,848,661</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 31.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AlixPartners, LLP Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.94% &#150; 3.36%, 10/12/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>430,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alpha Topco Ltd. (Formula One):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 2.854%, 12/31/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>572</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>287,662</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B2, 2.854%, 12/31/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>393</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>197,768</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bresnan Communications, LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Additional Term Loan B (First Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.13%, 6/30/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>213,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B (First Lien), 3.18% &#150; 4.20%, 9/29/13</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>426,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CSC Holdings Inc (Cablevision) Incremental Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.205% &#150; 2.692%, 3/29/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,728</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,568,497</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Catalina Marketing Corp. Initial Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.459%, 10/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,979</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,568,110</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc. (Thomson Learning)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche 1 Incremental Term Loan, 7.50%, 7/03/14</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,488</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,741,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cequel Communications, LLC (aka Cebridge) Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.445% &#150; 4.25%, 11/05/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,476</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,086,856</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Charter Communications Operating, LLC Replacement</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.18% &#150; 3.36%, 3/06/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,741</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,382,082</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 13</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_15"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="9%"></TD>
     <TD width="4%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media (concluded)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clarke American Corp. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.979% &#150; 3.959%, 6/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,480</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>871,661</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dex Media West LLC Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7%, 10/24/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>360,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Discovery Communications Holding, LLC Term Loan B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.459%, 5/14/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>987</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>895,053</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FoxCo Acquisition Sub, LLC Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 7/14/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>749</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>384,358</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Getty Images, Inc Initial Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25% &#150; 7.25%, 7/02/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>497</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>472,860</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gray Television, Inc. Term Loan B &#150; DD,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.95% &#150; 2.93%, 12/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>483</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>242,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Publishing Co. Ltd. (fka Education Media)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 5.256%, 6/12/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,995</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,122,188</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hanley-Wood, LLC (FSC Acquisition) Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.695% &#150; 2.729%, 3/08/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>496</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180,297</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hargray Acquisition Co./DPC Acquisition LLC/HCP</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acquisition LLC, Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.486%, 6/27/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>491</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>387,741</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Idearc Inc (Verizon) Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.48% &#150; 3.46%, 11/17/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>368</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>128,477</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Insight Midwest Holdings, LLC B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.42%, 4/07/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>879,583</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Corp. (fka PanAmSat Corp.):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-2-B, 3.925%, 1/03/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>663</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>566,489</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-2-C, 3.925%, 1/03/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>663</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>566,489</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-A Term Loan, 3.925%, 1/03/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>663</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>566,661</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 4.589%, 6/28/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,010</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>114,483</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C1, 4.839%, 6/30/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,010</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>114,483</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Local TV Finance, LLC Term Loan, 2.48%, 5/07/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,982</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>832,605</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MCC Iowa LLC (Mediacom Broadband Group):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D-1 Term Loan, 2.12%, 1/31/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>879</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>747,567</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D-2 Term Loan, 2.12%, 1/31/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>248</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210,886</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mediacom Illinois, LLC (fka Mediacom</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Communications, LLC) Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.87%, 1/31/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>735</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>610,384</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NTL Cable Plc:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.392%, 11/19/37</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>389</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>447,261</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 5.892%, 9/03/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>469</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>538,117</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NV Broadcasting, LLC Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.22%, 11/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,639</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>639,148</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Newsday, LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fixed Rate Term Loan, 9.75%, 8/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Term Loan, 6.594%, 8/01/13 (a)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>438,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC Dollar Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.448%, 8/09/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,472</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,939,626</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Parkin Broadcasting, LLC Term Loan, 5.22%, 11/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>336</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>131,106</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunshine Acquisition Ltd. (aka HIT Entertainment)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 3.49%, 7/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,751</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>831,623</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TWCC Holding Corp. Term Loan, 7.25%, 9/14/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>399</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>380,646</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Financing Partnership:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility N, 2.163%, 12/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>211,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>M Facility, 3.759%, 12/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>694,957</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>M Facility, 3.759%, 11/19/37</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>650</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>602,296</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media NTL Term Loan B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.892%, 9/03/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>281</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>321,915</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,559,135</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Algoma Steel Inc. Term Loan, 2.92%, 6/20/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>995</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>587,020</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="62%"></TD>
     <TD width="8%"></TD>
     <TD width="9%"></TD>
     <TD width="3%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FirstLight Power Resources, Inc. (fka NE Energy, Inc.):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Lien Term Loan B, 4.125%, 11/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>443</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>369,847</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 2.65%, 11/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>57</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47,653</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>417,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp. Tranche B-1 Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.198% &#150; 3.924%, 7/07/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,295,114</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#151; 1.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Petroleum GEO-Services ASA/PGS Finance, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.21%, 6/29/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,458</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,047,419</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vulcan Energy Corp. (fka Plains Resources, Inc.)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B3 Loan, 5.50%, 8/12/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>432,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,479,919</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 3.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgia-Pacific LLC Term B Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.956% &#150; 4.189%, 12/20/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,667</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,301,967</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NewPage Corp. Term Loan, 5.313%, 12/22/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,233</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750,718</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,052,685</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Personal Products &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Safety Razor Co., LLC Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.73%, 1/30/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,250</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Co., Inc. Tranche B Acquisition Date</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.459%, 1/18/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>579</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>522,445</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Corp. Tranche C Acquisition Date</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.459%, 1/18/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>269</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>242,722</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>765,167</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Booz Allen Hamilton Inc. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 7/31/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>998</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>939,146</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Automotive LP Term Loan, 2.17%, 12/16/10</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Road &amp; Rail &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RailAmerica, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canadian Term Loan, 5.44%, 8/14/09</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>58,707</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Term Loan, 5.44%, 8/14/09</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>685</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>616,293</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>675,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#151; 2.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Adesa, Inc. (KAR Holdings, Inc.) Initial Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.73% &#150; 3.709%, 10/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>928</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>623,983</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Nutrition Centers, Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.69% &#150; 3.72%, 9/16/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>990</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>720,170</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, Inc. Term Loan B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.688% &#150; 3.313%, 10/31/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>990</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>553,505</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,897,658</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hanesbrands Inc. Term B Loan (First Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.909% &#150; 4%, 9/05/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>436</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>408,322</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 3.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc. (aka Leap Wireless)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Loan, 6.50%, 6/16/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,070</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>989,970</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetroPCS Wireless, Inc. New Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.75% &#150; 3.438%, 11/03/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,536</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,331,492</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ntelos, Inc. Term B-1 Facility, 2.73%, 8/24/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>742</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>675,479</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,996,941</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Floating Rate Loan Interests &#151; 126.2%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110,280,627</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>14 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_16"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="63%"></TD>
     <TD width="16%"></TD>
     <TD width="3%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Corp., 5.246%, 6/15/13 (a)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>635,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>635,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $146,762,245) &#151; 126.9%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110,916,252</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beneficial</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Short-Term Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Series, LLC</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash Sweep Series, 0.73% (b)(c)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,338</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,338,274</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $2,338,274) &#151; 2.7%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,338,274</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments (Cost &#151; $149,100,519*) &#151; 129.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>113,254,526</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#151; (29.6)%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(25,860,529)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets &#151; 100.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 87,393,997</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The cost and unrealized appreciation (depreciation) of investments as of February</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28, 2009, as computed for federal income tax purposes, were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="57%"></TD>
     <TD width="25%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 148,898,929</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98,628</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(35,743,031)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(35,644,403)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a) Variable rate security. Rate shown is as of report date.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Investments in companies considered to be an affiliate of the Fund, for purposes of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Section 2(a)(3) of the Investment Company Act of 1940, were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="48%"></TD>
     <TD width="34%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Affiliate</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Series, LLC</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash Sweep Series</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD (27,287)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14,960</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) Represents the current yield as of report date.</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Fund compliance purposes, the Fund&#146;s industry classifications refer to any one</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or ratings group indexes, and/or as defined by Fund management.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>This definition may not apply for purposes of this report, which may combine indus</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>try sub-classifications for reporting ease.</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of February 28, 2009 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="6%"></TD>
     <TD width="15%"></TD>
     <TD width="7%"></TD>
     <TD width="15%"></TD>
     <TD width="21%"></TD>
     <TD width="15%"></TD>
     <TD width="2%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Settlement</FONT></B>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Purchased</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp; Sold</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp; Appreciation</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,195,272</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,963,000</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3/18/09</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>172,291</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>644,025</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500,000</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,252</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>209,232</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>165,000</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,101,838</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,418,500</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp; Deutsche Bank AG&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3/18/09</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>71,293</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>217,518</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,797</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>256,720</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on traded indexes &#151; sold protection outstanding as of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2009 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="14%"></TD>
     <TD width="12%"></TD>
     <TD width="14%"></TD>
     <TD width="13%"></TD>
     <TD width="11%"></TD>
     <TD width="15%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Received</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counter-</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>party</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rating</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LCDX Index</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.25%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B&#150;</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 1,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(26,702)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chase Bank</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2013</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using Standard and Poor&#146;s weighted average ratings of the underlying securities</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in the index.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The maximum potential amount the Fund may pay should a negative credit</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>event take place as defined under the terms of the agreement.</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="41%"></TD>
     <TD width="58%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT style="FONT-SIZE: 8pt" color=#231f20 face="Franklin Gothic Book"><SUB><FONT style="FONT-SIZE: 11pt">&#149;</FONT></SUB></FONT><FONT style="FONT-SIZE: 8pt" color=#231f20 face="Franklin Gothic Book"><SUB><FONT style="FONT-SIZE: 11pt">Currency </FONT></SUB></FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><FONT style="FONT-SIZE: 8pt" face="Franklin Gothic Book"><SUB><FONT style="FONT-SIZE: 11pt">Abbreviations</FONT></SUB></FONT>:</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>British Pound</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Dollar</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial Accounting Standards Board Statement of Financial Accounting Standards</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No. 157, &#147;Fair Value Measurements,&#148; clarifies the definition of fair value, establishes</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a framework for measuring fair values and requires additional disclosures about the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>use of fair value measurements. Various inputs are used in determining the fair</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value of investments, which are as follows:</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#151; price quotations in active markets/exchanges for identical securities</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2 &#151; other observable inputs (including, but not limited to: quoted prices</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for similar assets or liabilities in markets that are not active, inputs other than</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quoted prices that are observable for the assets or liabilities (such as interest</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default rates) or other market-corroborated inputs)</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 &#151; unobservable inputs based on the best information available in the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstance, to the extent observable inputs are not available (including the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s own assumption used in determining the fair value of investments)</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodology used for valuing securities are not necessarily an</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>indication of the risk associated with investing in those securities. For information</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>about the Fund&#146;s policy regarding valuation of investments and other significant</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accounting policies, please refer to Note 1 of the Notes to Financial Statements.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table summarizes the inputs used as of February 28, 2009 in</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>determining the fair valuation of the Fund&#146;s investments:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="24%"></TD>
     <TD width="33%"></TD>
     <TD width="4%"></TD>
     <TD width="16%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=3 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Financial</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Inputs</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Instruments*</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 86,549,621</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>256,720</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(26,702)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,704,905</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$113,254,526</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>256,720</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(26,702)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* Other financial instruments are foreign currency exchange contracts and swaps,</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which are valued at the unrealized appreciation/depreciation on the instrument.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following is a reconciliation of investments for unobservable inputs (Level 3)</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that were used in determining fair value:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="68%"></TD>
     <TD width="13%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Securities</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance as of August 31, 2008</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,841,355</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>224,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized loss</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(275,118)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(15,927,562)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net sales</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,114,803)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net transfers in Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,956,633</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance as of February 28, 2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,704,905</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Included in the related net change in unrealized appreciation/depreciation on</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Statements of Operations.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 15</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#005595 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>February 28, 2009 (Unaudited)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
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     <TD noWrap align=center>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
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     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Airways Group, Inc. Loan, 2.979%, 3/21/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>740</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>336,469</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 2.8%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allison Transmission, Inc. Term Loan, 3.20%, 8/07/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,954</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,294,426</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dana Holding Corp. Term Advance, 7.25%, 1/31/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>887</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>270,080</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intermet Corp.:</FONT>&nbsp;</TD>
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     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B PIK, 7.696%, 11/08/10 (a)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>43,816</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 7.696%, 11/08/10 (b)(c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>402</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>160,797</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synth Letter of Credit, 2.343%, 11/09/10 (b)(c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>335</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>134,110</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synth Letter of Credit PIK, 2.343%, 11/09/10 (a)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,111</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Metaldyne Co. LLC:</FONT>&nbsp;</TD>
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     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deposit Funded Loan, 0.347% &#150; 5.125%, 1/11/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,385</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B Term Loan, 8% &#150; 9.87%, 1/13/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>590</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70,804</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,994,529</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Automobiles &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
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     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Co. Term Loan, 5%, 12/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>323</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>103,176</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Motors Corp. Secured Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.148%, 11/29/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>248</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>88,873</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>192,049</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beverages &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Culligan International Co. Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
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     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.485% &#150; 8.536%, 4/24/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>111,985</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Stile Acquisition Corp. (aka Masonite):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
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     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canadian Term Loan, 6.25%, 4/06/13</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>566</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>231,335</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan, 6.75%, 4/06/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>572</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>233,590</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>464,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 4.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Edwards (Cayman Islands II) Ltd. Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.479%, 5/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>493</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Huish Detergents Inc. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.17%, 4/26/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>243</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>205,853</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ISP Chemco LLC Term Loan, 2% &#150; 2.75%, 6/04/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>493</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>412,059</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PQ Corp. (fka Niagara Acquisition, Inc.):</FONT>&nbsp;</TD>
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     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 7.68%, 7/30/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,250</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,137,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 4.43% &#150; 4.71%, 7/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>498</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>297,256</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia Inc. Loan, 8.50%, 2/28/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>995</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>639,271</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,987,439</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 1.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NES Rentals Holdings, Inc. Permanent Term Loan</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Second-Lien), 8%, 7/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,726</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>828,342</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>West Corp. Term B-2 Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.82% &#150; 2.854%, 10/24/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>556</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>407,186</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,235,528</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Computers &amp; Peripherals &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dealer Computer Services, Inc. (Reynolds &amp; Reynolds)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 2.479%, 10/26/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>663</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>431,155</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intergraph Corp. Second Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.479% &#150; 7.256%, 11/28/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>412,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>843,655</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brand Energy &amp; Infrastructure Services, Inc. (FR Brand</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acquisition Corp.) Second Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.688% &#150; 3.75%, 2/07/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>491</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>147,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Group, Inc. Loan, 8.421%, 6/05/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,086</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>617,222</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#151; 1.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Corp. Term Loan, 3.47% &#150; 4.26%, 11/14/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,737</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,128,947</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J.G. Wentworth, LLC Loan (First Lien), 3.709%, 4/04/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180,000</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="62%"></TD>
     <TD width="8%"></TD>
     <TD width="9%" align=center>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#151; 3.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawaiian Telcom Communications, Inc. Tranche C</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.75%, 5/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>625,313</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wind Acquisition Holdings Finance S.A. Dollar PIK</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 8.393%, 12/21/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,179</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,481,502</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,106,815</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electrical Equipment &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Generac Acquisition Corp. First Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.919%, 11/10/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>494</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>264,258</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#151; 1.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dresser, Inc. Term B Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.729% &#150; 3.488%, 5/04/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>970</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>696,874</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 3.46%, 4/02/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>496</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>307,288</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan, 3.46%, 4/03/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>301,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,305,637</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>McJunkin Corp. Term Loan, 4.709%, 1/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>735</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>535,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>WM. Bolthouse Farms, Inc. Second Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.979%, 12/16/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>272,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>807,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#151; 2.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dole Food Co., Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit-Linked Deposit, 0.66%, 4/12/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>86</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77,368</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 2.50% &#150; 4.25%, 4/12/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>153</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>136,776</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JRD Holdings, Inc. (Jetro Holdings) Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.697%, 7/02/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>484</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>421,406</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solvest, Ltd. (Dole) Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.563% &#150; 4.25%, 4/12/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>568</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>509,588</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sturm Foods, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan First Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.438% &#150; 3.75%, 1/31/14 (a)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>491</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>278,784</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan Second Lien, 7.25%, 7/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,548,922</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC (ReAble Therapeutics Fin LLC)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.479% &#150; 4.459%, 5/20/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>743</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>617,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hologic, Inc. Tranche B Term Loan, 3.75%, 3/31/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>254</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>228,521</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>846,034</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCS Medical, Inc. (Chronic Care) Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.71%, 9/30/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>484</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>217,647</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Health Management Associates, Inc. Term B Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.209%, 2/28/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>379</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>302,197</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>519,844</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#151; 2.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Golden Nugget, Inc. Second Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.73%, 12/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Green Valley Ranch Gaming, LLC Second Lien</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.697%, 8/16/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrah's Operating Co., Inc. Term B-2 Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.159% &#150; 4.459%, 1/28/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>496</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>288,652</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lake at Las Vegas Joint Venture/LLV-1, LLC (b)(c):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolving Loan Credit-Linked Deposit Account,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.75%, 6/20/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,617</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 11.75%, 6/20/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,125</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>52,510</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Las Vegas Sands, LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw I Term Loan, 2.16%, 5/23/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>199</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87,809</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 2.16%, 5/23/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>788</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>347,705</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>QCE, LLC (Quiznos) Term Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.218%, 11/05/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>335,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>VML US Finance LLC (aka Venetian Macau) Term B:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Project Loan, 2.73%, 5/25/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>76</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>43,957</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Project Loan, 2.73%, 5/27/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>549</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>316,038</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,567,288</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>16 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_18"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="9%"></TD>
     <TD width="4%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Residential Services LLC Term Loan</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Second Lien), 12%, 4/17/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,010</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>862,729</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#151; 3.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Activant Solutions Inc. Term Loan, 3.438%, 5/02/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,570</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>737,792</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Audio Visual Services Group, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 6.96%, 8/28/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan (First Lien), 3.71%, 2/28/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>988</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>276,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ceridian Corp U.S. Term Loan, 3.47%, 11/09/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>690,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.223% &#150; 3.229%, 9/24/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,139</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>747,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.223% &#150; 3.229%, 9/24/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>122</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>79,626</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,566,843</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Texas Competitive Electric Holdings Co., LLC (TXU) Initial</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 3.909% &#150; 4.451%, 10/10/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>738</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>460,494</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp. Term Loan, 3.67% &#150; 3.70%, 12/03/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>398</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>242,488</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alliant Insurance Services Term Loan B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.459%, 10/23/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>494</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>370,313</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Internet &amp; Catalog Retail &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FTD Group, Inc. Tranche B Term Loan, 6.75%, 8/04/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>499</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>426,431</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 3.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navistar International Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolving Credit-Linked Deposit,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.677% &#150; 3.729%, 1/19/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>572,666</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Advance, 3.729%, 1/19/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,200</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,574,833</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rexnord Holdings, Inc Loan, 9.181%, 3/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>390</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>97,502</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,245,001</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 19.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group Holdings, Inc. Loan, 8.523%, 3/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,150</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>517,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AlixPartners, LLP Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.94% &#150; 3.36%, 10/12/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>506</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>435,258</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc. (Thomson Learning)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche 1 Incremental Term Loan, 7.50%, 7/03/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,236</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,565,379</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cequel Communications, LLC (aka Cebridge):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Tranche A Term Loan (Cash Pay),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.913%, 5/05/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,225,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.445% &#150; 4.25%, 11/05/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>793</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>668,427</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EB Sports Corp Loan, 9.27%, 5/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,327</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>331,759</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ellis Communications KDOC, LLC Loan, 10%, 12/30/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,948</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,168,611</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Publishing Co. Ltd. (fka Education Media):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mezzanine, 10.756%, 11/14/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,862</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,758,777</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 5.256%, 6/12/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,534</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>862,894</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Insight Midwest Holdings, LLC B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.42%, 4/07/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>417,802</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lavena Holding 3 GmbH (Prosiebensat.1 Media AG)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 4.589%, 6/30/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>337</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,161</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NEP II, Inc. Term B Loan, 2.729%, 2/18/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>482</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>390,816</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Newsday, LLC Fixed Rate Term Loan, 9.75%, 8/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,805,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC Dollar Term Loan, 2.448%, 8/09/13</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,955</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,533,874</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Penton Media, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 2.729% &#150; 3.424%, 2/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>983</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>109,303</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 6.174%, 2/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>372,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TWCC Holding Corp. Term Loan, 7.25%, 9/14/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>499</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475,808</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,676,869</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euramax International, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Domestic Loan (Second Lien), 13%, 6/29/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Domestic Term Loan, 8.75%, 6/29/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,224</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>397,697</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>473,072</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="63%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp. Tranche B-2 Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.229%, 7/07/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>205,813</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#151; 5.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Petroleum GEO-Services ASA/PGS Finance, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.21%, 6/29/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>477</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>342,405</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ScorpionDrilling Ltd. Second Lien, 8.966%, 5/08/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,610,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Turbo Beta Ltd. Dollar Facility, 14.50%, 3/15/18</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,717</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,373,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vulcan Energy Corp. (fka Plains Resources, Inc.)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B3 Loan, 5.50%, 8/12/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>648,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,974,505</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LNR Property Corp. Initial Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.92%, 7/12/11</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,140</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>598,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aspect Software, Inc. Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.313%, 7/11/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Floating Rate Loan Interests &#151; 65.6%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,059,804</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 2.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allison Transmission, Inc. (d):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11%, 11/01/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>95</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.25%, 11/01/15 (a)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>305</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>117,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Goodyear Tire &amp; Rubber Co., 8.625%, 12/01/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lear Corp., 8.75%, 12/01/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>255</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>43,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,806,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 3.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CPG International I, Inc., 8.561%, 7/01/12 (e)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,325,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Momentive Performance Materials, Inc. Series WI,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.75%, 12/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>152,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ply Gem Industries, Inc., 11.75%, 6/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,350</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>621,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,098,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#151; 2.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>E*Trade Financial Corp., 12.50%, 11/30/17</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,125</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>977,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Co., LLC, 10.625%, 1/15/16 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>724</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>296,840</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (a)(d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>283</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>116,198</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco, LLC,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.50%, 1/15/18 (a)(d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>193</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>79,423</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,469,961</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 2.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Pacific Corp., 9%, 2/01/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>440</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>369,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc. (f):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Subordinate Note, 10%, 1/29/19</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>894</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>894,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Third Lien Subordinate Note, 5%, 1/29/19</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>272</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,454,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>West Corp., 11%, 10/15/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>985</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>630,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nortek, Inc., 10%, 12/01/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,050</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>820,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 8.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Holding Corp., 5.871%, 9/15/14 (e)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,235</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,039,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Packaging Dynamics Finance Corp., 10%, 5/01/16 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,570</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>675,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit Kappa Funding Plc, 7.75%, 4/01/15 (g)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,912,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit-Stone Container Enterprises, Inc.,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8%, 3/15/17 (b)(c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>780</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>68,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wise Metals Group LLC, 10.25%, 5/15/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,347,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,042,625</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 17</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_19"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="63%"></TD>
     <TD width="7%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 3.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FCE Bank Plc, 7.125%, 1/16/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,300</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,778,651</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Credit Co. LLC, 4.01%, 1/13/12 (e)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>815</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>399,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,178,001</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tyson Foods, Inc., 10.50%, 3/01/14 (d)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>706,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#151; 4.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrahs Operating Co., Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10%, 12/15/15 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>61,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.75%, 2/01/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,992</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>278,880</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.75%, 2/01/18 (a)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>944</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>57,941</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10%, 12/15/18 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>938</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>262,640</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Little Traverse Bay Bands of Odawa Indians,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.25%, 2/15/14 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>368,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shingle Springs Tribal Gaming Authority,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.375%, 6/15/15 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>410</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>239,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Snoqualmie Entertainment Authority,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.384%, 2/01/14 (d)(e)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>305</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>164,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Travelport LLC, 5.886%, 9/01/14 (e)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>810</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>259,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tropicana Entertainment LLC Series WI,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.625%, 12/15/14 (b)(c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tunica-Biloxi Gaming Authority, 9%, 11/15/15 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Universal City Florida Holding Co. I,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.92%, 5/01/10 (e)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,025</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>972,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,466,011</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Stanley-Martin Communities LLC, 9.75%, 8/15/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,250</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alliance Data Systems Corp., 1.75%, 8/01/13 (d)(f)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>370</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>246,975</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 2.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dynegy Holdings, Inc., 8.375%, 5/01/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>635,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Holdings Corp., 11.25%, 11/01/17 (a)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>440,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Texas Competitive Electric Holdings Co. LLC,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.50%, 11/01/16 (a)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>384,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,459,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp. (d):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.75%, 12/01/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,530</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>244,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13.50%, 12/01/15 (a)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,132</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>255,068</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>499,868</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USI Holdings Corp., 5.113%, 11/15/14 (d)(e)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>490</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>232,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 1.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ESCO Corp., 5.871%, 12/15/13 (d)(e)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>920</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>570,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RBS Global, Inc., 8.875%, 9/01/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>505</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>380,013</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Titan International, Inc., 8%, 1/15/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>460</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>369,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,319,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Marine &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navios Maritime Holdings, Inc., 9.50%, 12/15/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>141</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>84,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 4.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group, Inc., 10.125%, 10/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>320</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>248,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CSC Holdings, Inc., 8.50%, 4/15/14 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>172,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canadian Satellite Radio Holdings, Inc.,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.75%, 2/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>607,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Local Insight Regatta Hldgs, Inc., 11%, 12/01/17</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>832</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>199,680</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TL Acquisitions, Inc., 10.50%, 1/15/15 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,570</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>737,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media, Inc., 6.50%, 11/15/16 (d)(f)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,045,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,010,880</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#151; 1.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aleris International, Inc. (b)(c):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9%, 12/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>370</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10%, 12/15/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RathGibson, Inc., 11.25%, 2/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,390</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>305,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ryerson, Inc., 8.545%, 11/01/14 (d)(e)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,010</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,025,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,331,562</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#151; 4.8%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chesapeake Energy Corp., 9.50%, 2/15/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>744,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Denbury Resources, Inc., 9.75%, 3/01/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,410,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Forest Oil Corp., 8.50%, 2/15/14 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>640</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>582,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SandRidge Energy, Inc., 5.06%, 4/01/14 (e)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>657,172</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,393,572</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 5.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Abitibi-Consolidated, Inc., 5.496%, 6/15/11 (e)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd., 11%, 7/29/15 (a)(d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,623</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,183,870</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bowater, Inc., 9%, 8/01/09</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NewPage Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.42%, 5/01/12 (e)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>720,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10%, 5/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,820</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Holdings LLC Series B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.92%, 8/01/14 (e)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,040,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,992,870</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#151; 1.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Angiotech Pharmaceuticals, Inc.,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.011%, 12/01/13 (e)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>918,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.50%, 4/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,445</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>513,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.375%, 4/15/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,460</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>175,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>688,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avago Technologies Finance Pte. Ltd.,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.761%, 6/01/13 (e)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>314,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Spansion, Inc., 4.386%, 6/01/13 (b)(c)(d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,410</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>329,588</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>643,588</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BMS Holdings, Inc., 9.224%, 2/15/12 (a)(d)(e)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>446</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>107,517</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#151; 2.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Buffets, Inc., 12.50%, 11/01/14 (b)(c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>360</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Nutrition Centers, Inc., 7.584%, 3/15/14 (a)(e)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,670</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>985,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10%, 11/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>715</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>243,994</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.375%, 11/01/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,135</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>268,144</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>United Auto Group, Inc., 7.75%, 12/15/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>355</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>170,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,667,874</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 5.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BCM Ireland Preferred Equity Ltd.,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.959%, 2/15/17 (a)(d)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>438</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,755</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown Castle International Corp., 9%, 1/15/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>215</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>209,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel Group Ltd. (d):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.875%, 1/15/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,070</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>797,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.125%, 1/15/15 (a)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,129</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,490,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iPCS, Inc., 3.295%, 5/01/13 (e)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>144,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nordic Telephone Co. Holdings ApS (d):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.875%, 5/01/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>728,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.357%, 5/01/16 (e)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>526,115</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Orascom Telecom Finance SCA, 7.875%, 2/08/14 (a)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,117,945</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#151; 63.7%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>44,738,687</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>18 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_20"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="63%"></TD>
     <TD width="17%"></TD>
     <TD width="4%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Non-U.S. Government Agency</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Mortgage-Backed Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Mortgage-Backed Securities &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown Castle Towers LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2005-1A Class AFL, 0.841%, 6/15/35 (e)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 785</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>714,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2005-1A Class AFX, 4.643%, 6/15/35 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Global Signal Trust Series 2006-1 Class A2,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.45%, 2/15/36</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>116,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Non-U.S.Government Agency Mortgage-Backed</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Securities &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,041,325</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>North Street Referenced Linked Notes 2000-1 Ltd.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2005-8A Class D, 16.496%, 6/15/41 (d)(e)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,350</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,019</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Asset-Backed Securities &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,019</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Trusts</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citigroup, Inc. Series E, 8.40% (e)(h)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>690</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>241,569</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Capital Trusts &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>241,569</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common Stocks</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>E*Trade Financial Corp. (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>96,809</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77,447</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,613</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>403</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electrical Equipment &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Medis Technologies Ltd. (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>176,126</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100,392</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EXCO Resources, Inc. (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72,787</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>663,089</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>311,678</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>176,394</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd. (b)(d)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>349,782</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>198,481</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>374,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Common Stocks &#151; 1.6%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,216,206</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Preferred Stocks</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco, LLC, 16.75% (d)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,880</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Preferred Stocks &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,880</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $199,041,581) &#151; 132.8%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>93,380,490</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beneficial</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Short-Term Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Series, LLC</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash Sweep Series, 0.73% (i)(j)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 2,757</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,757,179</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $2,757,179) &#151; 3.9%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,757,179</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="14%"></TD>
     <TD width="3%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Options Purchased</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Call Options</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco LLC, expiring</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>December 2009 at USD 942.86,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs &amp; Co.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,995</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Purchased</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $12,711) &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,995</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments (Cost &#151; $201,811,471*) &#151; 136.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>96,158,664</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#151; (36.7)%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(25,839,974)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets &#151; 100.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70,318,690</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The cost and unrealized appreciation (depreciation) of investments as of February 28,</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2009, as computed for federal income tax purposes, were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="57%"></TD>
     <TD width="24%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 201,810,260</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>348,397</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(105,999,993)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(105,651,596)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a) Represents a payment-in-kind security which may pay interest/dividends in</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional par/shares.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Non-income producing security.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) Issuer filed for bankruptcy and/or is in default of interest payments.</FONT><BR>
<BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Variable rate security. Rate shown is as of report date.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Convertible security.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) All, or portion of, security held as collateral in connection with swaps.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) Security is perpetual in nature and has no stated maturity date.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) Represents the current yield as of report date.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(j) Investments in companies considered to be an affiliate of the Fund, for purposes of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Section 2(a)(3) of the Investment Company Act of 1940, were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="47%"></TD>
     <TD width="36%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Affiliate</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Series, LLC</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash Sweep Series</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD (2,835,226)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$17,840</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Fund compliance purposes, the Fund&#146;s industry classifications refer to any one</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or ratings group indexes, and/or as defined by Fund management.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>This definition may not apply for purposes of this report, which may combine</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>industry sub-classifications for reporting ease.</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of February 28, 2009 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="6%"></TD>
     <TD width="14%"></TD>
     <TD width="7%"></TD>
     <TD width="15%"></TD>
     <TD width="22%"></TD>
     <TD width="13%"></TD>
     <TD width="19%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Settlement Appreciation</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Purchased</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Sold</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Depreciation)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>345,725</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425,000</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11,678</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,906,531</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,217,000</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>96,383</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>94,210</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(856)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 107,205</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 19</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

<!--$$/page=-->
<A name="page_21"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B></P>
<P align=left><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on single-name issues &#151; buy protection outstanding as of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2009 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="17%"></TD>
     <TD width="10%"></TD>
     <TD width="21%"></TD>
     <TD width="17%"></TD>
     <TD width="8%"></TD>
     <TD width="7%"></TD>
     <TD width="5%"></TD>
     <TD width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pay</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tyson</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foods, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.22%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank USA</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>162</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Masco</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corp.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.30%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chase Bank,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>National</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Association</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,093</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Host Hotel &amp;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Resorts LP</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank USA</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March 2014</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 1,275</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,736</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mohawk</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Industries</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.45%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chase Bank,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>National</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Association</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March 2014</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,594</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41,585</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on single-name issues &#151; sold protection outstanding as of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2009 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="16%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD width="14%"></TD>
     <TD width="11%"></TD>
     <TD width="15%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Received</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counter-</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>party</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rating</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Co.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.20%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2010</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 2,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(1,397,085)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BAA Ferrovial</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Junior</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.00%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2012</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A&#150;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP 300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(108,863)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(1,505,948)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using Standard and Poor&#146;s ratings of the issuer.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The maximum potential amount the Fund may pay should a negative credit</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>event take place as defined under the terms of the agreement.</FONT><BR>
<BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on traded indexes &#151; buy protection outstanding as of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2009 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="16%"></TD>
     <TD width="11%"></TD>
     <TD width="20%"></TD>
     <TD width="17%"></TD>
     <TD width="33%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pay</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000) Appreciation</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dow Jones</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 1,940 $ 352,096</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CDX North</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Suisse</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>America</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>High Yield</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Index</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on traded indexes &#151; sold protection outstanding as of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2009 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="16%"></TD>
     <TD width="9%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD>
     <TD width="11%"></TD>
     <TD width="15%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pay</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counter-</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>party</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rating</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aces High</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Morgan</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC+</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 7,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(5,336,893)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield Index</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Stanley</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2010</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Services, Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using Standard &amp; Poor&#146;s weighted average ratings of the underlying securities in</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Index.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The maximum potential amount the Fund may pay should a negative credit</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>event take place under the terms of the agreement.</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate swaps outstanding as of February 28, 2009 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="53%"></TD>
     <TD width="25%"></TD>
     <TD width="21%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pay a fixed rate of 4.823% and receive a</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>floating rate based on 3-month LIBOR</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker, JPMorgan Chase Bank,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>National Association</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expires January 2013</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 20,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,823,284)</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="38%"></TD>
     <TD width="61%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT style="FONT-SIZE: 11pt" color=#231f20 face="Franklin Gothic Book"><SUB>&#149;</SUB></FONT><FONT style="FONT-SIZE: 11pt" color=#231f20 face="Franklin Gothic Book"><SUB>Currency </SUB></FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><FONT style="FONT-SIZE: 11pt" face="Franklin Gothic Book"><SUB>Abbreviations</SUB></FONT>:</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canadian Dollar</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Dollar</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>20 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_22"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B></P>
<P align=left><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Effective September 1, 2008, the Fund adopted Financial Accounting Standards</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Board Statement of Financial Accounting Standards No. 157, &#147;Fair Value</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Measurements&#148; (&#147;FAS 157&#148;). FAS 157 clarifies the definition of fair value, estab-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lishes a framework for measuring fair values and requires additional disclosures</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>about the use of fair value measurements. Various inputs are used in determining</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the fair value of investments, which are as follows:</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#151; price quotations in active markets/exchanges for identical securities</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2 &#151; other observable inputs (including, but not limited to: quoted prices</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for similar assets or liabilities in markets that are not active, inputs other than</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quoted prices that are observable for the assets or liabilities (such as interest</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and default rates) or other market-corroborated inputs)</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 &#151; unobservable inputs based on the best information available in the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstance, to the extent observable inputs are not available (including the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s own assumption used in determining the fair value of investments)</FONT><BR>
<BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodology used for valuing securities are not necessarily an indica-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion of the risk associated with investing in those securities. For information about</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Fund&#146;s policy regarding valuation of investments and other significant accounting</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>policies, please refer to Note 1 of the Notes to Financial Statements.</FONT><BR>
<BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table summarizes the inputs used as of February 28, 2009 in deter-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mining the fair valuation of the Fund&#146;s investments:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="24%"></TD>
     <TD width="15%"></TD>
     <TD width="19%"></TD>
     <TD width="20%"></TD>
     <TD width="20%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Financial</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Inputs</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Instruments*</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,017,322</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,867,757</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 522,737</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (8,558,118)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,252,590</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(108,863)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>96,137,669</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 522,737</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (8,666,981)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* Other financial instruments are swaps, foreign currency exchange contracts</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and options. Swaps and foreign currency exchange contracts are valued at</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the unrealized appreciation/depreciation on the instrument and options are</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shown at market value.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following is a reconciliation of investments for unobservable inputs (Level 3)</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that were used in determining fair value:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="68%"></TD>
     <TD width="13%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Securities</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance as of August 31, 2008</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,146,004</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>95,505</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized loss</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,360,754)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(28,504,080)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net sales</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,789,301)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net transfers in Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,665,216</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance as of February 28, 2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,252,590</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Included in the related net change in unrealized appreciation/depreciation</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on the Statements of Operations.</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="67%"></TD>
     <TD width="14%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Financial</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Instruments*</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance as of August 31, 2008</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized gain (loss)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(44,064)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net purchases (sales)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net transfers out of Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(64,799)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance as of February 28, 2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(108,863)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* Other financial instruments are swaps, foreign currency exchange contracts</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and options. Swaps and foreign currency exchange contracts are valued at</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the unrealized appreciation/depreciation on the instrument and options are</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shown at market value.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 21</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#005595 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>February 28, 2009 (Unaudited)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="9%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#151; 5.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avio S.p.A.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar Mezzanine Term Loan, 10.061%, 12/13/16</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,079</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>488,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B2, 2.604% &#150; 3.936, 12/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,661</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>859,731</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C2, 3.229% &#150; 4.56%, 12/14/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,771</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>916,512</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawker Beechcraft Acquisition Co. LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Facility Deposit, 3.459%, 3/26/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110,313</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.479% &#150; 3.459%, 3/26/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,089</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,878,628</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IAP Worldwide Services, Inc. Term Loan (First-Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 12/30/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,055,361</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vought Aircraft Industries, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolver, 2.47% &#150; 2.48%, 12/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.98%, 12/22/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,432,895</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Letter of Credit Deposit, 2.97%, 12/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>373</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>301,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,843,034</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc. Credit-Linked Deposit Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.32% &#150; 2.445%, 4/30/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,238</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>940,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Airways Group, Inc. Loan, 2.979%, 3/21/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,480</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>672,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,613,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 3.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinia Group Inc. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.174%, 11/30/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,544</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,271,786</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allison Transmission, Inc. Term Loan, 3.32%, 8/07/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,885</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,236,064</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dana Holding Corp. Term Advance, 7.25%, 1/31/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,576</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>479,392</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GPX International Tire Corp. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.23% &#150; 10.25%, 3/30/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,266</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>696,228</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,683,470</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Automobiles &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Co. Term Loan, 5.0%, 12/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>522</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>166,668</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Motors Corp. Secured Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.148%, 11/29/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>422</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>151,085</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>317,753</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beverages &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Culligan International Co. Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.48% &#150; 8.536%, 4/24/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>111,985</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 2.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Materials Corp. of America Term Loan Advance,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.625% &#150; 3.875%, 2/22/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,729</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,860,560</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PGT Industries, Inc. Tranche A-2 Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 2/14/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,923</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,057,719</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Stile Acquisition Corp. (aka Masonite) Canadian</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 6.25%, 4/06/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>912</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>372,680</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Stile U.S. Acquisition Corp. (aka Masonite) US Term</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 6.75%, 4/06/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>921</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>376,312</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,667,271</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Riskmetrics Group Holdings, LLC Term B Loan</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 3.459%, 1/10/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,453</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300,521</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 4.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Edwards (Cayman Islands II) Ltd. Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.479%, 5/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>493</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Huish Detergents Inc. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.17%, 4/26/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,478</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,250,950</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ISP Chemco LLC Term Loan, 2.0% &#150; 2.75%, 6/04/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>985</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>824,117</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PQ Corp. (fka Niagara Acquisition, Inc.) Term Loan</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 4.43% &#150; 4.71%, 7/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,980</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,378,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia Inc. Loan, 8.50%, 2/28/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,485</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,881,552</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,630,169</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="9%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>John Maneely Co. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.41% &#150; 4.604%, 12/09/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>851</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>487,360</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>West Corp. Term B-2 Loan, 2.82% &#150; 2.854%, 10/24/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,037</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>759,598</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,246,958</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Computers &amp; Peripherals &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dealer Computer Services, Inc. (Reynolds &amp; Reynolds)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 2.479%, 10/26/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,110</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>721,403</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intergraph Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan (First Lien), 3.256%, 5/29/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>419</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>357,980</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 8.181%, 11/28/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>412,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,491,883</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Headwaters Inc. Term Loan B1 (First Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.97%, 4/30/11</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,025</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>717,708</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 2.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Group, Inc. Loan, 8.421%, 6/05/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,218</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>243,640</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graham Packaging Co., LP New Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.688% &#150; 6.313%, 10/07/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,217</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,018,143</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graphic Packaging International, Inc. Incremental</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.203% &#150; 4.185%, 5/16/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,970</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,679,263</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit-Stone Container Term Loan B, 8.75%, 2/03/10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>580</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>576,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,517,421</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Distributors &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Keystone Automotive Operations, Inc. Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.947% &#150; 5.75%, 1/12/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,426</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>534,883</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Corp. Term Loan, 3.47% &#150; 4.26%, 11/14/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,729</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,774,060</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 1.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaimlerChrysler Financial Services Americas LLC</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 6.0%, 8/03/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,960</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,059,148</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J.G. Wentworth, LLC Loan (First Lien), 3.709%, 4/04/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>207,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,266,148</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electrical Equipment &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Generac Acquisition Corp. First Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.919%, 11/10/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>548</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>293,393</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sensus Metering Systems New Term B-1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.47% &#150; 3.256%, 12/17/10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,578</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,420,435</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,713,828</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#151; 2.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dresser, Inc. Term B Loan, 2.729% &#150; 3.489%, 5/04/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,872,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 3.46%, 4/02/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>991</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>614,575</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan, 3.46%, 4/03/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>973</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>602,950</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,089,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#151; 3.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AB Acquisitions UK Topco 2 Ltd. Facility B2 UK Borrower,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.161%, 7/09/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,015,899</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advantage Sales &amp; Marketing, Inc. (ASM Merger</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sub, Inc.) Term Loan, 2.45% &#150; 3.47%, 3/29/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,461</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,147,133</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DSW Holdings, Inc. Loan, 2.705%, 3/02/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>924</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>674,844</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>McJunkin Corp. Term Loan, 4.709%, 1/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>725</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>528,151</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>WM. Bolthouse Farms, Inc. Second Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.979%, 12/16/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>545,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,911,027</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>22 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_24"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="9%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#151; 1.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dole Food Co., Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit-Linked Deposit, 2.79%, 4/12/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>176</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>158,033</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 2.50% &#150; 4.25%, 4/12/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>312</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>279,382</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solvest, Ltd. (Dole) Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.563% &#150; 4.25%, 4/12/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,161</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,040,895</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sturm Foods, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan First Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.438% &#150; 3.75%, 1/31/14 (a)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>975</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>553,355</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan Second Lien, 7.25%, 7/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,281,665</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC (ReAble Therapeutics Fin LLC)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.479% &#150; 4.459%, 5/20/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>990</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>823,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hologic, Inc. Tranche B Term Loan, 3.75%, 3/31/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>381</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>342,781</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,166,131</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 2.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCS Medical, Inc. (Chronic Care) Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.71%, 9/30/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>473</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>212,968</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.729%, 7/25/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55,312</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Term Loan, 2.729% &#150; 3.506%, 7/25/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,280</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,083,853</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Health Management Associates, Inc. Term B Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.209%, 2/28/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,874</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,291,708</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,643,841</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#151; 3.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Golden Nugget, Inc. Second Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.73%, 12/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Green Valley Ranch Gaming, LLC Second Lien</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.697%, 8/16/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Greenwood Racing Inc. Term Loan, 2.73%, 11/28/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>490</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>362,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrah's Operating Co., Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-1 Loan, 4.159% &#150; 4.459%, 1/28/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>236</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>136,327</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-2 Loan, 4.159% &#150; 4.459%, 1/28/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,779</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,616,453</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-3 Loan, 4.159% &#150; 4.459%, 1/28/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,180</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Las Vegas Sands, LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw I Term Loan, 2.16%, 5/23/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>398</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>175,617</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 2.16%, 5/23/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,576</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>695,410</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Penn National Gaming, Inc. Term Loan B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.23% &#150; 2.99%, 10/03/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,195</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,076,174</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>QCE, LLC (Quiznos) Term Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.75%, 11/05/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>984</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>542,431</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Travelport LLC (fka Travelport Inc.):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Original Post-First Amendment and Restatement</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit Loan, 2.729% &#150;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.709%, 8/23/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>178</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>105,133</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Dollar Term Loan, 2.729%, 8/23/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>889</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>523,962</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>VML US Finance LLC (aka Venetian Macau) Term B:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Project Loan, 2.73%, 5/25/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>384</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220,899</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Project Loan, 2.73%, 5/27/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>866</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>498,420</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,164,606</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#151; 2.8%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Residential Services LLC Term Loan</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Second Lien), 12%, 4/17/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,725,457</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Simmons Bedding Co. Tranche D Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.535%, 12/19/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,166</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,418,797</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yankee Candle Co., Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.42% &#150; 3.47%, 2/06/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,250</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>758,334</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,902,588</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="62%"></TD>
     <TD width="8%"></TD>
     <TD width="9%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#151; 2.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Activant Solutions Inc. Term Loan, 3.438%, 5/02/13</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,962</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>922,240</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Audio Visual Services Group, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 6.96%, 8/28/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan (First Lien), 3.71%, 2/28/14</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,481</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>414,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ceridian Corp U.S. Term Loan, 3.47%, 11/09/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,380,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.223% &#150; 3.229%, 9/24/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,286</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>844,271</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.223% &#150; 3.229%, 9/24/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>343</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>224,256</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RedPrairie Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 7.736%, 1/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>129,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.25% &#150; 5.25%, 7/20/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>636</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400,882</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,385,399</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Calpine Generating Co., LLC Second Priority Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.07%, 4/01/10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>598</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Texas Competitive Electric Holdings Co., LLC (TXU):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.948% &#150; 4.451%, 10/10/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>983</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>612,954</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.948% &#150; 4.451%, 10/10/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,955</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,219,463</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,833,015</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp. Term Loan, 3.67% &#150; 3.70%, 12/03/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,796</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,705,759</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alliant Holdings I, Inc. Term Loan, 4.459%, 8/21/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>494</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>370,313</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Internet &amp; Catalog Retail &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FTD Group, Inc. Tranche B Term Loan, 6.75%, 8/04/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>748</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>639,647</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Leisure Equipment &amp; Products &#151; 2.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24 Hour Fitness Worldwide, Inc. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.98% &#150; 3.93%, 6/08/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,890</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,178,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Easton-Bell Sports, Inc. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.66% &#150; 2.92%, 3/16/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,119</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,281,872</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fender Musical Instruments Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Loan, 2.75%, 6/09/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>166</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>74,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Loan, 3.71%, 6/09/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>329</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>147,997</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,683,019</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 4.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NACCO Materials Handling Group, Inc. Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.479% &#150; 4.595%, 3/21/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,463</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>760,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navistar International Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolving Credit-Linked Deposit,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.67% &#150; 3.729%, 1/19/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,333</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>954,444</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Advance, 3.729%, 1/19/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,667</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,624,721</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Oshkosh Truck Corp. Term B Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.20% &#150; 3.95%, 12/06/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,761</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,232,538</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TriMas Co. LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 2.729% &#150; 3.434%, 8/02/13</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,588</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000,716</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Loan, 2.40%, 3/27/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>236,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,809,169</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 23.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group Holdings, Inc. Loan, 8.523%, 3/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AlixPartners, LLP Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.94% &#150; 3.36%, 10/12/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,591</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,367,953</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bresnan Communications, LLC Additional Term Loan B</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 3.13%, 6/30/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,278,750</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 23</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_25"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="9%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media (concluded)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Catalina Marketing Corp. Initial Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.459%, 10/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,732</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,372,489</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc. (Thomson Learning):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.98%, 7/03/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>234</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>152,071</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche 1 Incremental Term Loan, 7.50%, 7/03/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,221</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,654,879</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cequel Communications, LLC (aka Cebridge):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Tranche A Term Loan (Cash Pay),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.913%, 5/05/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,225,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.445% &#150; 4.25%, 11/05/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,121</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,787,765</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clarke American Corp. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.979% &#150; 3.959%, 6/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>985</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>580,165</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp. Tranche B-2 Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.160%, 7/07/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>725</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>596,856</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Emmis Operating Co. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.479% &#150; 3.466%, 11/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>545</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>234,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Publishing Co. Ltd. (fka Education Media):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mezzanine, 10.756%, 11/14/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,593</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,877,998</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 5.256%, 6/12/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,630</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,479,247</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hanley-Wood, LLC (FSC Acquisition) Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.695% &#150; 2.729%, 3/08/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,481</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>538,187</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Insight Midwest Holdings, LLC B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.42%, 4/07/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,825</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,605,239</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Subsidiary Holding Co. Ltd. Tranche B</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.925%, 1/03/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,906</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,677,254</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Knology, Inc. Term Loan, 2.663%, 6/30/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>728</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>582,315</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 4.589%, 6/30/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>337</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,161</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C1, 4.839%, 6/30/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>337</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,161</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MCC Iowa LLC (Mediacom Broadband Group) Tranche A</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 1.87%, 3/31/10</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>888</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>820,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MCNA Cable Holdings LLC (OneLink Communications)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (PIK facility), 9.62%, 3/01/13 (a)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,179</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>731,214</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mediacom Illinois, LLC (fka Mediacom</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Communications, LLC) Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.87%, 1/31/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,097</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,572,280</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mediannuaire Holding (Pages Jaunes) Term Loan D,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.909%, 1/11/17</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>80,593</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Metro-Goldwyn-Mayer Inc. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.729% &#150; 4.7809%, 4/09/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,314</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,474,576</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Multicultural Radio Broadcasting, Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.195%, 12/18/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>328</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>229,814</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Newsday, LLC Fixed Rate Term Loan, 9.75%, 8/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>902,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NextMedia Operating, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delay Draw Term Loan, 5.123%, 11/15/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>94,149</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan (First Lien), 5.174%, 11/15/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>267</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125,461</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 8.17%, 11/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,763</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>432,034</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC Dollar Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.448%, 8/09/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,865</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,601,621</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Penton Media, Inc. Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.174%, 2/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>111,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunshine Acquisition Ltd. (aka HIT Entertainment)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 3.49%, 7/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>732</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>347,716</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TWCC Holding Corp. Term Loan, 7.25%, 9/14/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>748</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>713,711</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Financing Partnership M Facility,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.760%, 12/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,633,044</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,857,791</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#151; 1.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Transfer Equity, LP Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.991%, 11/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>870,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FirstLight Power Resources, Inc. (fka NE Energy, Inc.)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 5.966%, 5/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>315,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Riverside Energy Center Term Loan, 5.424%, 6/24/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,531</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,393,367</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="65%"></TD>
     <TD width="6%"></TD>
     <TD width="9%"></TD>
     <TD width="3%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities (concluded)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rocky Mountain Energy Center:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC Credit Linked Deposit, 1.074%, 6/24/11</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>134</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,909</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC Term Loan, 5.424%, 6/24/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>701</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>638,203</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,338,479</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#151; 2.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Big West Oil, LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Advance Loan, 4.50%, 5/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>269,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Advance Loan, 4.50%, 5/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>438</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>214,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coffeyville Resources, LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Letter of Credit, 8.75%, 12/28/10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>487</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>353,311</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D Term Loan, 8.75%, 12/30/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,567</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,137,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Petroleum GEO-Services ASA/PGS Finance, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.21%, 6/29/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>953</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>684,811</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vulcan Energy Corp. (fka Plains Resources Inc) Term B3</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 5.50%, 8/12/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,297,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Western Refining, Inc. Term Loan, 8.25%, 5/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>986</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>612,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,569,560</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NewPage Corp. Term Loan, 5.313%, 12/22/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,238</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>753,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Finance Holdings LLC Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.685% &#150; 8.435%, 2/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,899</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>379,722</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,133,472</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Catalent Pharma Solutions, Inc. (fka Cardinal</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Health 409, Inc.) Euro Term Loan, 5.223%, 4/15/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>985</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>899,087</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mattamy Funding Partnership Loan, 3.563%, 4/11/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>973</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>680,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp. Initial Term B Loan, 3.434%, 10/10/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,970</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,114,145</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,794,895</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Adesa, Inc. (KAR Holdings, Inc.) Initial Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.73% &#150; 3.71%, 10/20/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,436</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>965,887</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Renfro Corp. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.16% &#150; 4.48%, 10/05/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>436</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>218,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Floating Rate Loan Interests &#151; 84.1%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>144,793,530</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 2.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Goodyear Tire &amp; Rubber Co., 6.318%, 12/01/09 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,235,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 2.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CPG International I, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.561%, 7/01/12 (b)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,855,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.50%, 7/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,590,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Momentive Performance Materials, Inc. Series WI,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.75%, 12/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>285,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,730,000</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>24 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

<!--$$/page=-->
<A name="page_26"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="65%"></TD>
     <TD width="6%"></TD>
     <TD width="9%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#151; 1.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>E*Trade Financial Corp., 12.50%, 11/30/17 (c)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,313</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,443,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Co., LLC, 10.625%, 1/15/16 (c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,168</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>478,880</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (a)(c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>457</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>187,416</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco, LLC,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.50%, 1/15/18 (a)(c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>312</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>127,747</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,237,793</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GEO Specialty Chemicals Corp.,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 3/31/15 (a)(c)(d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>820</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>614,217</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GEO Specialty Chemicals, Inc.,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.935%, 12/31/09 (b)(d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,319</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>987,601</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc. Third Lien Subordinate Note,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5%, 1/29/19 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>430</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>301,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,902,818</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 1.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allied Waste North America, Inc. Series B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.375%, 4/15/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,375</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,324,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nortek, Inc., 10%, 12/01/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,420</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,368,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 3.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Holding Corp., 5.871%, 9/15/14 (b)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,450</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>674,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clondalkin Acquisition BV, 3.996%, 12/15/13 (b)(c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,480,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown European Holdings SA, 6.25%, 9/01/11</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>795</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>977,624</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Owens Brockway Glass Container, Inc.,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 12/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>395</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>445,677</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Packaging Dynamics Finance Corp., 10%, 5/01/16 (c)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,350</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,010,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,588,051</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 1.8%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FCE Bank Plc, 7.125%, 1/16/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,093,306</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#151; 1.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Corp., 5.246%, 6/15/13 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,966,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AmeriQual Group LLC, 9.50%, 4/01/12 (c)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#151; 1.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC, 10.875%, 11/15/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,250</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,470,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#151; 3.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Real Estate Partners LP, 7.125%, 2/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,112,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrah's Operating Co., Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.75%, 2/01/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,325</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.75%, 2/01/18 (a)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>315</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,335</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10%, 12/15/18 (c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>505</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>141,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Little Traverse Bay Bands of Odawa Indians,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.25%, 2/15/14 (c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,565</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>719,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,178,635</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#151; 1.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp., 9.875%, 9/24/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,300,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Texas Competitive Electric Holdings Co. LLC,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.25%, 11/01/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,230</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,641,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp. (c):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.75%, 12/01/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>640</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>102,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13.50%, 12/01/15 (a)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,591</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190,309</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>292,709</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="65%"></TD>
     <TD width="15%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (c)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 2,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 1.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CSC Holdings, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.50%, 4/15/14 (c)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>420</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>403,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 7.625%, 4/01/11</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,980,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cablevision Systems Corp. Series B, 8%, 4/15/12</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>556,312</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Local Insight Regatta Hldgs, Inc., 11%, 12/01/17</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,244</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>298,560</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,238,072</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FMG Finance Property Ltd., 5.261%, 9/01/11 (b)(c)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>265</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ryerson, Inc., 8.545%, 11/01/14 (b)(c)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,680</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>856,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,082,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SandRidge Energy, Inc., 5.06%, 4/01/14 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,051,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 1.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Abitibi-Consolidated, Inc., 5.496%, 6/15/11 (b)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,650</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>238,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd., 11%, 7/29/15 (a)(c)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,147</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>517,679</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NewPage Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10%, 5/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>605,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.42%, 5/01/12 (b)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,925</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>942,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Holdings LLC Series B, 4.92%, 8/01/14 (b)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,040,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,343,179</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Angiotech Pharmaceuticals, Inc., 5.011%, 12/01/13 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>612,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp., 10.50%, 4/15/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,055</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>221,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avago Technologies Finance Pte. Ltd.,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.761%, 6/01/13 (b)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>706,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Spansion, Inc., 4.386%, 6/01/13 (b)(c)(e)(f)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,870</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>670,862</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,377,362</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Nutrition Centers, Inc., 7.584%, 3/15/14 (a)(b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>413,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown Castle International Corp., 9%, 1/15/15</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>536,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel Group Ltd., 9.125%, 1/15/15 (a)(c)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>278</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>194,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>730,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#151; 32.9%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56,648,750</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common Stocks</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>E*Trade Financial Corp. (e)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>242,021</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>193,617</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GEO Specialty Chemicals, Inc. (e)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,117</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,035</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>430</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>108</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,143</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electrical Equipment &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Medis Technologies Ltd. (e)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>71,654</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,843</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Trico Marine Services, Inc. (e)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>119,185</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>389,735</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 25</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_27"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="63%"></TD>
     <TD width="16%"></TD>
     <TD width="3%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common Stocks</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>136,289</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77,133</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd. (c)(e)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>152,951</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>86,791</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Western Forest Products, Inc. (c)(e)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>84,448</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,957</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>173,881</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Common Stocks &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>803,219</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Non-U.S. Government Agency</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Mortgage-Backed Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Mortgage-Backed Securities &#151; 1.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown Castle Towers LLC Series 2005-1A:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class AFL, 0.936%, 6/15/35 (b)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 1,795</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,633,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class AFX, 4.643%, 6/15/35 (c)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>472,725</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Global Signal Trust Series 2006-1 Class A2,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.45%, 2/15/36</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>290</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>271,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Non-U.S. Government Agency</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Mortgage-Backed Securities &#151; 1.4%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,377,325</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Preferred Stocks</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco, LLC, 16.75% (c)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>78</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33,930</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Preferred Stocks &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33,930</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $335,541,062) &#151; 118.8%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>204,656,754</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beneficial</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Short-Term Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Series, LLC</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash Sweep Series, 0.73% (g)(h)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 4,457</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,457,276</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $4,457,276) &#151; 2.6%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,457,276</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Options Purchased</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over the Counter Call Options</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco LLC, expiring</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>December 2009 at USD 942.86 Broker,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs &amp; Co.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Purchased</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $19,556) &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments (Cost &#151; $340,017,894*) &#151; 121.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>209,146,330</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#151; (21.4)%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(36,911,150)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets &#151; 100.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 172,235,180</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The cost and unrealized appreciation (depreciation) of investments as of February</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28, 2009, as computed for federal income tax purposes, were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="57%"></TD>
     <TD width="27%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 339,963,284</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp; $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>313,322</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(131,130,276)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(130,816,954)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a) Represents a payment-in-kind security which may pay interest/dividends in</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional par/shares.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Variable rate security. Rate shown is as of report date.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Convertible security.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Non-income producing security.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Issuer filed for bankruptcy and/or is in default of interest payments.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Represents the current yield as of report date.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) Investments in companies considered to be an affiliate of the Fund, for purposes of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Section 2(a)(3) of the Investment Company Act of 1940, were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="48%"></TD>
     <TD width="35%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Affiliate</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Series, LLC</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash Sweep Series</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 2,822,607</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$24,202</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Fund compliance purposes, the Fund's industry classifications refer to any one</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or ratings group indexes, and/or as defined by Fund management.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>This definition may not apply for purposes of this report, which may combine industry</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sub-classifications for reporting ease.</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of February 28, 2009 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="6%"></TD>
     <TD width="15%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="22%"></TD>
     <TD width="14%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Settlement</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Purchased</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Sold</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>256,243</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>315,000</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8,655</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,228,578</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,802,000</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>339,191</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,383,308</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,055,000</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,047</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>837,233</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>650,000</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,328</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,118,328</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,103,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>107,940</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 515,161</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on single-name issues &#151; buy protection outstanding as of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2009 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="17%"></TD>
     <TD width="10%"></TD>
     <TD width="22%"></TD>
     <TD width="16%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pay</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan Chase</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>December</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corp.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2013</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 184,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan Chase</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>December</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corp.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2013</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>237,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Host Hotels &amp;</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,620</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Resorts LP</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank USA</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Masco Corp.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.3%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan Chase</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,186</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mohawk</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.45%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan Chase</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Industries,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank, NA</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,188</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 504,094</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>26 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_28"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B></P>
<P align=left><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on single-name issues &#151; sold protection outstanding as of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2009 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="16%"></TD>
     <TD width="12%"></TD>
     <TD width="19%"></TD>
     <TD width="16%"></TD>
     <TD width="34%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Receive</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></SUP></B><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.80%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 10,000&nbsp;&nbsp;&nbsp;&nbsp; $(7,007,760)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Co.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2010</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit rating is CCC using Standard and Poor&#146;s ratings.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The maximum potential amount the Fund may pay should a negative credit</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>event take place as defined under the terms of the agreement.</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on traded indexes &#151; buy protection outstanding as of February</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28, 2009 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="19%"></TD>
     <TD width="9%"></TD>
     <TD width="20%"></TD>
     <TD width="17%"></TD>
     <TD width="16%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pay</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dow Jones</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 3,880</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$704,193</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CDX North</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>America</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>High Yield</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Index 10.V1</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="38%"></TD>
     <TD width="61%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT style="FONT-SIZE: 10pt" color=#231f20 face="Franklin Gothic Book"><SUB><FONT style="FONT-SIZE: 11pt">&#149;</FONT></SUB></FONT><FONT style="FONT-SIZE: 10pt" color=#231f20 face="Franklin Gothic Book"><SUB><FONT style="FONT-SIZE: 11pt">Currency </FONT></SUB></FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><FONT style="FONT-SIZE: 10pt" face="Franklin Gothic Book"><SUB><FONT style="FONT-SIZE: 11pt">Abbreviations</FONT></SUB></FONT>:</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canadian Dollar</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>British Pound</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Dollar</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Effective September 1, 2008, the Fund adopted Financial Accounting Standards</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Board Statement of Financial Accounting Standards No. 157, &#147;Fair Value Measure-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments&#148; (&#147;FAS 157&#148;). FAS 157 clarifies the definition of fair value, establishes a</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>framework for measuring fair values and requires additional disclosures about the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>use of fair value measurements. Various inputs are used in determining the fair</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value of investments, which are as follows:</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#151; price quotations in active markets/exchanges for identical securities</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2 &#151; other observable inputs (including, but not limited to: quoted prices</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for similar assets or liabilities in markets that are not active, inputs other than</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quoted prices that are observable for the assets or liabilities (such as interest</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and default rates) or other market-corroborated inputs)</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 &#151; unobservable inputs based on the best information available in the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstance, to the extent observable inputs are not available (including the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s own assumption used in determining the fair value of investments)</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodology used for valuing securities are not necessarily an indica-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion of the risk associated with investing in those securities. For information about</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Fund&#146;s policy regarding valuation of investments and other significant accounting</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>policies, please refer to Note 1 of the Notes to Financial Statements.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table summarizes the inputs used as of February 28, 2009 in deter-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mining the fair valuation of the Fund&#146;s investments:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="24%"></TD>
     <TD width="14%"></TD>
     <TD width="19%"></TD>
     <TD width="4%"></TD>
     <TD width="16%"></TD>
     <TD width="20%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Financial</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Inputs</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Instruments*</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;711,284</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>145,788,452</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,755,748</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (7,007,760)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,614,294</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 209,114,030</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,755,748</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (7,007,760)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* Other financial instruments are swaps, foreign currency exchange contracts</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and options. Swaps and foreign currency exchange contracts are valued at</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the unrealized appreciation/depreciation on the instruments and options are</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shown at market value.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following is a reconciliation of investments for unobservable inputs (Level 3)</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that were used in determining fair value:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="68%"></TD>
     <TD width="13%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Securities</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance as of August 31, 2008</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,977,920</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>164,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized loss</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,006,943)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(46,483,912)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net sales</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16,941,868)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net transfers in Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>102,904,197</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance as of February 28, 2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,614,294</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Included in the related net change in unrealized appreciation/depreciation</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on the Statements of Operations.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 27</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#005595 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>February 28, 2009 (Unaudited)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="63%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avio Holding SpA:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.604%, 9/25/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>517,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 3.229%, 9/25/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>517,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawker Beechcraft Acquisition Co. LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Facility Deposit, 2.10%, 3/26/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>244</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>112,016</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.479% &#150; 3.459%, 3/26/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,569</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,099,278</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IAP Worldwide Services, Inc. First Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 12/31/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>585</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>304,392</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wesco Aircraft Hardware Corp. First Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.73%, 9/25/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>401,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,951,842</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Airways Group, Inc. Term Loan, 2.979%, 3/23/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,220</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,009,407</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allison Transmission, Inc. Term Loan, 3.20%, 8/07/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,053</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,685,303</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dana Holding Corp. Term Advance, 6.50% &#150; 7.25%, 1/31/15</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>890</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>270,759</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dayco Products LLC &#151; (Mark IV Industries, Inc.)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Replacement Term B Loan, 5.97% &#150; 8.48%, 6/01/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>854</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>204,853</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Metaldyne Co. LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deposited Fund Tranche Loan, 0.346% &#150;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.125%, 1/11/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,769</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche Term B Loan, 2% &#150; 8%, 1/11/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>669</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>80,244</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rally Parts, LLC (Motorsport Aftermarket) Tranche</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Loan, 2.98% &#150; 3.96%, 11/03/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>490</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>181,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,434,228</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beverages &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Culligan International Co., Second Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.485% &#150; 8.536%, 5/25/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>335,954</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Le-Nature's, Inc. Term B Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.25%, 12/28/12 (e)(f)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>145,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>480,954</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Armstrong World Industries, Inc. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.223%, 10/02/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>194</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>174,177</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Material Corp. of America Advance Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.625% &#150; 3.875%, 2/22/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,873</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,958,643</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Custom Building Products, Inc. Second Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.75%, 4/29/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>847,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Momentive Performance Materials (Blitz 06-103 GMBH):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1, 2.75%, 12/04/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>967</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>716,839</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2, 3.803%, 12/04/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>790,229</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>United Subcontractors Inc. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.43% &#150; 6.80%, 12/27/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,820</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>364,016</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,851,404</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Co., LLC Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50% &#150; 7.25%, 12/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225,393</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nuveen Investments, Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.479% &#150; 4.466%, 11/13/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,496</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>705,367</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>930,760</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 3.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brenntag Holdings GMBH &amp; Co. KG Facility:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B6A and B6B, 7.163%, 11/24/37</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>488,717</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan 2, 5.501%, 7/17/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>289,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan 3A, 9.421%, 3/21/16</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>115</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>86,361</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan 3B, 9.421%, 3/15/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>385</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>289,209</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cognis GMBH Facility:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A, 5.329%, 11/17/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>803</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>641,564</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 5.329%, 11/16/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>197</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>157,118</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Edwards (Cayman Islands II) Ltd. First Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.479%, 5/23/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>493</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295,500</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="63%"></TD>
     <TD width="7%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals (concluded)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ElectriciInvest Holding Co. Ltd (Viridian Group Plc)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Junior Term Facility:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.082%, 4/20/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>894</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>764,728</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.928%, 12/21/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>872,917</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Huish Detergents, Inc. Tranche Term B Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.17%, 4/26/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,244</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,052,989</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ISP Chemco Term B Loan, 2% &#150; 2.75%, 6/04/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,478</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,236,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ineos U.S. Finance LLC Term Facility:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A4, 7.702%, 2/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>923</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>364,674</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B2, 8.202%, 2/20/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,631</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>636,101</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>C2, 8.703%, 2/20/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,631</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>636,101</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lucite International Group Holdings Ltd. PIK,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.312%, 7/03/14 (c)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,185</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,026,543</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PQ Corp. (fka Niagara Acquisition, Inc.):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Lien Term Loan, 4.43% &#150; 4.71%, 7/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,980</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,378,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 7.68%, 7/30/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,250</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,137,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rockwood Specialties Group, Inc. Tranche Term Loan D,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.979%, 12/13/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>960</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>843,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia, Inc. Term Loan, 8.50%, 2/28/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,741</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,118,725</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,315,547</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 1.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aramark Corp.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit, 2.038%, 1/26/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>159,546</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.334%, 1/26/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,907</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,511,359</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EnviroSolutions Real Property Holdings, Inc. Initial</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 10.50%, 7/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>276,698</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kion GmbH:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.479%, 3/04/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 2.979%, 3/04/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Language Line, Inc. Tranche B-1 Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.71%, 11/14/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>708</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>608,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sirva Worldwide, Inc. Second Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12%, 5/15/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>246</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,299</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synagro Technologies, Inc. First Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.45%, 4/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,729</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,521,540</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>West Corp. Term B Loan-2,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.82% &#150; 2.854%, 10/31/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,940</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,152,729</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,412,734</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Communications Equipment &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SafeNet, Inc. First Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.398% &#150; 3.66%, 4/12/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,970</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,068,725</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Computers &amp; Peripherals &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dealer Computer Services, Inc. (Reynolds &amp;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds) First Lien Term Loan, 2.479%, 10/31/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,381</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>897,534</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intergraph Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Lien Initial Term Loan, 3.256%, 5/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,431</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,223,363</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.479% &#150; 7.256%, 11/17/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>618,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,739,647</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brand Energy &amp; Infrastructure Services, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.688% &#150; 3.75%, 1/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>990</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>638,335</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7% &#150; 7.313%, 2/15/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>938,335</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Atlantis Plastic Films, Inc. Second Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.25%, 3/22/12 (e)(f)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graham Packaging Co. LP New Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.689% &#150; 6.313%, 9/30/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,585</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,326,418</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graphic Packaging International, Inc. Incremental</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.203% &#150; 4.185%, 5/16/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,340</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,994,125</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>28 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_30"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="63%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging (concluded)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Modelo 3 S.a.r.l. (Mivisa) Tranche B2 Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.452%, 6/03/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>933,908</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit-Stone Container Enterprises, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 5%, 11/01/10</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>568</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>376,065</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 0.50%, 2/03/10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>580</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>576,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 0.50%, 11/01/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>130</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>86,429</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 2.69% &#150; 4.50%, 2/03/10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>630</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>592,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 1.312%, 11/01/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>376</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250,363</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solo Cup Co. Term B Loan1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.913% &#150; 5.75%, 2/27/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,114</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,003,031</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,138,914</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Distributors &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Keystone Automotive Operations, Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.947% &#150; 5.75%, 1/12/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,426</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>534,883</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Corp. Term Loan, 3.47% &#150; 4.26%, 11/15/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,714</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,064,286</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JG Wentworth, LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Lien Term Loan, 3.709%, 4/03/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>360,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 3.709%, 4/03/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Professional Services Industries Inc. First Lien</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.23%, 10/31/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>649</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>564,323</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>960,323</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#151; 1.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Eircom Group Plc:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 3.428%, 8/14/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,970</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,667,657</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 3.678%, 8/14/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,970</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,667,843</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawaiian Telcom Communications, Inc. Tranche C</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.75%, 6/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,898</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>791,312</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Time Warner Telecom Holdings Inc. Term B Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.48%, 2/23/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,778,905</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wind Telecomunicazione S.P.A. A1 Term Loan Facility,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.082% &#150; 6.973%, 9/22/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>424</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>468,486</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,374,203</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Astoria Generating Co. Acquisitions, LLC Second Lien</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 4.23%, 8/23/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,081,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TPF Generation Holdings LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Lien Term Loan, 2.479%, 11/28/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>448</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>407,129</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit, 1.359%, 11/28/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>151</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>136,806</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolving Credit, 1.359%, 11/28/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,886</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,668,696</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electrical Equipment &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Electrical Components International Holdings Co. (ECI)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 11.50%, 5/05/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Generac Acquisition Corp. First Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.919%, 11/10/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,464</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>783,213</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sensus Metering Systems New Term B Loan-1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.47% &#150; 3.256%, 12/17/10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,057</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>950,870</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,859,083</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment &amp; Instruments &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsch Connectors:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Loan, 2.695%, 7/27/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,827</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Loan 2, 2.695%, 7/27/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>457</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>305,883</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 3.195%, 7/27/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>851</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>570,304</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Flextronics International Ltd.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delay Draw Term Loan, 3.344%, 10/05/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,103</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>722,615</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A, 3.344% &#150; 3.685%, 10/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,839</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,514,698</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,136,327</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="62%"></TD>
     <TD width="7%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dresser, Inc. Term B Loan, 2.729% &#150; 3.488%,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,432</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,464,440</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp. Term Loan, 3.46%, 3/23/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>301,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Trinidad USA Partnership LLP US Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.913%, 4/15/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,458</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,093,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,859,040</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#151; 1.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AB Acquisitions UK Topco 2 Ltd. Facility B2</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UK Borrower, 4.161%, 7/09/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,021,199</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advantage Sales &amp; Marketing, Inc. (ASM Merger</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sub, Inc.) Term Loan, 2.45% &#150; 3.47%, 4/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>970</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>761,571</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DS Waters of America, Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.455%, 3/31/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>WM. Bolthouse Farms, Inc. First Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.688%, 11/29/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>970</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>807,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,865,295</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dole Food Co., Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit, 2.13%, 4/12/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250,710</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 2.50%, 4/12/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,842</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,651,321</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche Term B Loan, 2.50% &#150; 4.25%, 4/12/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>494</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>443,223</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michael Foods, Inc. Term B Loan-1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.001% &#150; 3.328%, 11/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,167</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,036,765</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sturm Foods, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Lien Term Loan, 3.75%, 1/22/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,346</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>763,798</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Lien Term Loan, 3.438%, 1/22/14 (c)(g)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>283,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 7.25%, 11/12/37</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,554,567</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Biomet, Inc. Dollar Term Loan, 4.459%, 3/25/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,444</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,955,493</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC (ReAble Therapeutics Fin LLC)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.479% &#150; 4.459%, 11/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,475</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,058,376</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Select Medical Corp. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.473% &#150; 4.25%, 2/24/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>963</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>770,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,783,869</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 3.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CHSI Community Health Systems, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delay Draw Term Loan, 2.729%, 6/18/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>419</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>354,402</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Loan, 2.729% &#150; 3.506%, 7/25/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,188</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,932,939</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CSS Medical, Inc. (Chronic Care) First Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.71%, 8/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>583</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>262,518</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Catalent Pharma (fka Cardinal Health 409, Inc.)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euro Term Loan, 5.223%, 11/19/37</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,970</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,798,174</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc. Tranche Term B-1 Loan, 3.709%, 11/15/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,216</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,025,239</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Health Management Associates, Inc. Term B Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.209%, 2/28/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>882</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>703,055</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HealthSouth Corp. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.95% &#150; 4.75%, 3/12/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,324</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,050,539</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Surgical Care Affiliates, LLC Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.459%, 6/29/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,977</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,186,451</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,313,317</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunquest Information Systems, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Misys Hospital Systems, Inc.) Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.73% &#150; 4.21%, 10/11/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,481</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,185,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#151; 1.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLB Worldwide Holdings, Inc. (Wembley, Inc.) First</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Priority Term Loan, 4.75%, 8/12/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,989</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>729,303</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCM Merger Inc. (Motor City Casino) Term B Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.50%, 7/26/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,555</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>878,747</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 29</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_31"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="62%"></TD>
     <TD width="8%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure (concluded)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Green Valley Ranch Gaming, LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Lien Term Loan, 2.449% &#150; 4%, 2/26/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>473</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>189,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 3.697%, 2/26/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrah's Operating Co., Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 4.159% &#150; 4.459%, 1/28/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>552</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>318,097</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 4.159% &#150; 4.459%, 1/28/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>695</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>404,113</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 4.159% &#150; 4.459%, 1/28/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>806</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>464,643</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>OSI Restaurant Partners, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolving Credit, 1.813% &#150; 2.813%, 5/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.813%, 5/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>381</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>178,633</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Penn National Gaming, Inc. Term Loan B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.23% &#150; 2.99%, 10/03/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,025</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,625,589</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>QCE, LLC (Quiznos) First Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.75%, 5/05/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,950</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,075,287</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Travelport LLC (fka Travelport Inc.) First Priority Term</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 7.979%, 3/20/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,454</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>913,149</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,867,336</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berkline/Benchcraft, LLC First Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.578%, 11/10/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>95</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,735</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jarden Corp. Term Loan B3, 3.959%, 1/24/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>990</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>893,679</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Simmons Bedding Co. Tranche D Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.535%, 12/19/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,250</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,483,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yankee Candle Co., Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.42% &#150; 3.47%, 2/06/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>606,667</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,988,081</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Products &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Central Garden &amp; Pet Co. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.98% &#150; 3.75%, 9/30/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>996</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>672,439</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#151; 2.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affiliated Computer Services, Inc. (ACS) Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.479%, 3/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>728</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>671,573</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amadeus Global Travel distribution SA:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 3.747%, 6/30/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>307</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>233,198</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-4, 3.747%, 6/30/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>186</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>141,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 4.247%, 6/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>307</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>233,198</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C-4, 4.247%, 6/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>186</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>141,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Audio Visual Services Group, Inc. Second Lien Term</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 6.96%, 8/28/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ceridian Corp. US Term Loan, 3.47%, 11/09/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,415,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 3.223% &#150; 3.229%, 9/24/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,682</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,416,956</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 3.223% &#150; 3.229%, 9/24/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,244</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>816,526</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 3.223% &#150; 3.229%, 9/24/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>846</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>552,535</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RedPrairie Corp. Term Loan, 4.25% &#150; 5.25%, 7/17/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>685</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>431,672</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SunGard Data Systems Inc. (Solar Capital Corp.)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New US Term Loan, 2.198% &#150; 2.991%, 2/28/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,911</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,435,297</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verifone, Inc. Term B Loan, 3.23%, 2/28/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>920</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>717,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,275,993</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Texas Competitive Electric Holdings Co., LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche Term Loan B-2, 3.948% &#150;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.451%, 10/10/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,209</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,626,058</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche Term Loan B-3, 3.948% &#150;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.451%, 10/10/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,269</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,534,303</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,160,361</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Conseco, Inc. Term Loan, 2.447%, 10/10/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>733</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>410,561</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Leisure Equipment &amp; Products &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24 Hour Fitness Worldwide, Inc. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.98% &#150; 3.93%, 6/08/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>973</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>544,600</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="60%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Life Sciences Tools &amp; Services &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Life Technologies Corp. Facility Term B Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 6/11/15</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,244</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,196,682</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Quintiles Transnational Corp. Term B Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.459%, 3/21/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>973</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>857,016</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,053,698</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Blount, Inc. Term Loan B, 2.163%, 8/09/10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>722</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>636,546</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LN Acquisition Corp. (Lincoln Industrials) Initial</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 6.21%, 12/18/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NACCO Materials Handling Group, Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.479% &#150; 4.595%, 3/21/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>488</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>253,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navistar International Transportation Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advance Term Loan, 3.729%, 1/19/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,750</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,968,541</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit-Linked Deposit, 3.696% &#150; 3.729%, 1/19/12</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>715,833</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>OshKosh Truck Corp. Term B Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.20% &#150; 3.95%, 12/06/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,201</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,540,673</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Standard Steel:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delay Draw Term Loan, 2.98%, 6/21/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,169</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Lien Term Loan, 3.96%, 6/21/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>381</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>243,966</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Trimas Co.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit, 2.40%, 8/02/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>94</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>59,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.729% &#150; 3.434%, 8/02/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>397</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250,179</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,917,470</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Marine &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dockwise Shipping BV:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 3.459%, 4/26/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503,333</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 4.334%, 4/26/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503,333</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,006,666</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 12.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acosta, Inc. Term Loan, 2.73%, 2/28/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>975</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>794,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group Holdings, Inc. Term Loan:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.523%, 1/31/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.523%, 3/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AlixPartners Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.94% &#150; 3.36%, 10/30/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,446</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,243,594</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Atlantic Broadband Finance, LLC Tranche B-2</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.71%, 2/27/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>975</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>867,869</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CSC Holdings Inc. (Cablevision) Incremental Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.205% &#150; 2.692%, 3/23/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,895</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,627,317</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Catalina Marketing Corp. Initial Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.459%, 10/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,461</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,743,011</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc. (Thomson</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Learning) Tranche 1 Incremental Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 7/05/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,731</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,611,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cequel Communications, LLC (aka Cebridge) Term</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 2.445% &#150; 4.25%, 11/05/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,379</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,218,842</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Charter Communications Operating, LLC Replacement</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.18% &#150; 3.36%, 11/23/37</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,950</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,135,352</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clarke American Corp. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.979% &#150; 3.959%, 12/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,384</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,993,160</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dex Media West LLC Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7%, 10/24/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,080,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Discovery Communications Holding, LLC Term B Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.459%, 5/14/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,480</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,341,492</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Formula One Group:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 2.854%, 7/05/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>589</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>165,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 5.311%, 12/31/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503,409</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.854%, 1/05/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>857</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>431,493</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FoxCo Acquisition Subsidiary, LLC Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.45% &#150; 4.25%, 7/14/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>513,333</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Getty Images, Inc. Initial Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25% &#150; 7.25%, 6/30/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>745</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>709,289</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>30 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_32"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="63%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;&nbsp;&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media (concluded)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gray Television, Inc. Term Loan B-DD,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.95% &#150; 2.93%, 12/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>731</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>366,736</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HIT Entertainment Ltd.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Lien Term Loan, 3.49%, 8/31/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,268</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>602,314</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 6.74%, 2/24/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Publishing Co., Ltd. Mezzanine Assignment,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.256%, 11/14/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,060</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,718,109</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hanley-Wood, LLC (FSC Acquisition) Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.695% &#150; 2.729%, 3/08/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,481</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>538,187</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Insight Midwest Holdings, LLC B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.42%, 4/06/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,550</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,242,937</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Knology, Inc. Term Loan, 2.663%, 6/30/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>485</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>388,210</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MCC Iowa (Mediacom Broadband Group)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D-1 Term Loan, 2.12%, 1/31/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,960</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,666,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mediacom Illinois, LLC (fka Mediacom</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Communications, LLC) Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.87%, 1/31/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,936</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,607,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Metro-Goldwyn-Mayer Inc. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.729% &#150; 4.709, 3/15/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,870</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,722,218</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Multicultural Radio Broadcasting Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.195%, 12/15/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>328</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>229,814</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NTL Cable Plc:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 4.392%, 11/19/37</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,101</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,264,726</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.919%, 7/17/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,013,781</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Vision Television Term Loan B:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.22% &#151; 5.25%, 10/21/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>990</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>386,090</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Newsday, LLC Fixed Rate Term Loan, 9.75%, 7/02/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,353,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nexstar Broadcasting Group:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.209%, 10/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,781</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>997,504</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 3.209%, 10/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,883</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,054,297</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC Dollar Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.448%, 8/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,219</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,310,345</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PanAmSat Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 3.925%, 1/03/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>590</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>504,262</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B2, 3.925%, 1/03/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>591</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>504,415</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Loan B2C, 3.925%, 1/03/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>590</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>504,262</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Penton Media:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 6.174%, 2/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>111,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.729% &#150; 3.424, 2/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,105</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>411,729</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ProSiebenSat. 1 Media AG:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 5.964%, 12/28/16</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>904</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,130</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.589%, 6/30/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>337</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,161</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.839%, 6/30/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>337</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,161</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Puerto Rico Cable Acquisition Co. Inc. (D/B/A</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Choice TV) Term Loan, 8%, 1/28/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>692</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>380,769</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>San Juan Cable First Lien Term loan, 9.62%, 10/26/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,769</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,096,820</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sitel, LLC (ClientLogic) U.S. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.947% &#150; 6.911%, 1/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>911</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503,899</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Telecommunications Management, LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assignment Term Loan, 3.979%, 6/30/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>926</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>555,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delay Draw Term Loan, 3.979%, 6/30/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>233</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>140,080</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>United Pan Europe Communications:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan M, 3.76%, 11/19/37</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,413</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,308,835</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan N, 2.163%, 12/31/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,695,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yell Group Plc Facility B2 (Euro), 4.553%, 4/30/11</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,298,536</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>59,233,413</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Algoma Steel Inc. Term Loan, 2.92%, 6/19/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>497</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>293,510</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Compass Minerals International, Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.96% &#150; 2.96%, 12/22/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>776</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>722,136</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euramax International Plc Second Lien Term Loan:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13%, 6/21/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>83</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,496</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13%, 6/29/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>168</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,191</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,053,333</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="58%"></TD>
     <TD width="10%"></TD>
     <TD width="11%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coleto Creek Power, LP (aka Coleto Creek WLE, LP):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Lien Term Loan, 4.209%, 7/31/13</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,180</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>810,524</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 1.359%, 7/31/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>84</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>57,417</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FirstLight Power Resources, Inc. (fka NE Energy, Inc.):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Lien Term Loan, 4.125%, 10/31/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,230</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,027,411</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit, 2.65%, 10/03/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>159</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>132,378</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MACH Gen, LLC Synthetic Letter of Credit First Lien</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.25%, 2/12/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,739</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,079,469</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Neiman Marcus Group, Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.193%, 4/06/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>179,292</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#151; 1.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Big West Oil:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delay Draw Term Loan, 4.50%, 5/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>269,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.50%, 5/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>438</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>214,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CR Gas Storage:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bridge Loan, 2.205%, 5/08/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,532</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delay Draw Term Loan, 2.203%, 5/08/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,467</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.847%, 5/08/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>528</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>411,489</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coffeyville Resources, LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Letter of Credit, 3.15%, 12/21/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>243</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>176,655</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D Term Loan, 8.50% &#150; 8.75%, 12/28/13</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>783</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>568,969</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Drummond Co., Inc. Term Advance, 1.723%, 2/15/12</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,275</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,236,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Turbo Beta Ltd. Dollar Facility, 14.50%, 3/15/18</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,029</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,423,558</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Western Refining, Inc. Term Loan, 8.25%, 5/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>915</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>567,993</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,931,288</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 1.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgia-Pacific LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Lien Term Loan B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.956% &#150; 4.189%, 12/22/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,261</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,541,312</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B2, 2.956% &#150; 4.189%, 3/08/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,209</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,906,312</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NewPage Corp. Term Loan, 5.313%, 12/21/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,479</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,509,779</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Finance Holdings LLC Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.685% &#150; 8.435%, 2/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>114,928</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,072,331</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Personal Products &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Safety Razor Co., LLC Second Lien</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 6.73%, 1/25/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Prestige Brands, Inc. Tranche Term Loan B-1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.729%, 10/06/10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,092</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>971,495</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,571,495</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Enclave Term Loan B, 6.14%, 3/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgian Towers Term Loan, 6.14%, 3/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,050,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pivotal Promontory, LLC Second Lien Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.50%, 8/11/11 (e)(f)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,287,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Road &amp; Rail &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rail America, Inc. Term Loan, 5.44%, 6/30/09</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,350,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bankruptcy Management Solutions, Inc. First Lien</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.48%, 7/06/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>978</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>566,950</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC Information Services Group Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.72%, 2/10/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>411</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>329,119</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>896,069</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 31</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_33"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="62%"></TD>
     <TD width="5%"></TD>
     <TD width="12%"></TD>
     <TD width="3%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ADESA, Inc. (KAR Holdings, Inc.) Initial Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.73% &#150; 3.709%, 10/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,679</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,129,668</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Burlington Coat Factory Warehouse Corp. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.73%, 5/28/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>586</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>206,788</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Eye Care Centers of America, Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.92% &#150; 3.97%, 3/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>527</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>437,457</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Orchard Supply Hardware Term Loan B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.784%, 12/21/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>930,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,703,913</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hanesbrands Inc. Term Loan, 2.909% &#150; 4%, 9/05/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>872</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>816,645</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Renfro Corp. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.16% &#150; 4.71%, 10/05/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>436</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>218,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>St. John Knits International, Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9%, 8/24/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>631</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>378,397</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,413,167</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trading Companies &amp; Distributors &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beacon Sales Acquisition, Inc. Term B Loan,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.479% &#150; 3.435%, 11/02/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,222</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>865,494</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cellular South, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delay Draw Term Loan, 1.979%, 5/16/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 1.979% &#150; 3.75%, 5/29/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,478</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,329,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc. (aka Leap wireless)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Loan, 6.50%, 6/16/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,444</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,336,486</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NTELOS Inc. Term B-1 Loan, 2.73%, 8/14/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,678</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,527,061</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,643,297</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Floating Rate Loan Interests &#151; 51.9%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>241,608,652</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>US Government Agency</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Mortgage-Backed Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fannie Mae Guaranteed Pass Through Certificates:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 3/15/24 (i)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>124,403,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 12/01/28 &#150; 11/01/33 (j)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,389</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,602,151</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total US Government Agency</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Mortgage-Backed Securities &#151; 28.4%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>132,005,276</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Air Freight &amp; Logistics &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Park-Ohio Industries, Inc., 8.375%, 11/15/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>905</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>371,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Airlines, Inc. Series 99-1, 7.324%, 4/15/11</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>520</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>488,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allison Transmission, Inc. (b):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11%, 11/01/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,474</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.25%, 11/01/15 (c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>435</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>167,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lear Corp., 8.75%, 12/01/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>89,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>322,199</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Automobiles &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Capital BV, 9.50%, 6/01/10</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>160,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CPG International I, Inc., 10.50%, 7/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>397,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Momentive Performance Materials, Inc.,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.50%, 12/01/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,850</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>388,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>786,000</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="62%"></TD>
     <TD width="7%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>E*Trade Financial Corp., 12.50%, 11/30/17</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,656</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,221,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Co., LLC, 10.625%, 1/15/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,651</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,086,910</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (b)(c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,039</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425,904</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco, LLC,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.50%, 1/15/18 (b)(c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>707</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>289,946</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,024,635</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Pacific Corp., 9%, 2/01/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>924,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ames True Temper, Inc., 5.094%, 1/15/12 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,085</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,355,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Innophos, Inc., 8.875%, 8/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,225</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,768,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Terra Capital, Inc. Series B, 7%, 2/01/17</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,061,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Casella Waste Systems, Inc., 9.75%, 2/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DI Finance Series B, 9.50%, 2/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,326</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,116,660</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Waste Services, Inc., 9.50%, 4/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,065</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,631,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,498,010</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Holding Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.871%, 9/15/14 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>510</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>237,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.875%, 9/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>465</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>276,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown Americas LLC, 7.75%, 11/15/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>885</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>891,638</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Impress Holdings BV, 4.219%, 9/15/13 (b)(d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,370</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,013,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pregis Corp., 12.375%, 10/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,020</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>898,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,318,163</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Credit Co. LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.544%, 4/15/09 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>60</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.375%, 2/01/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,800</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,671,216</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.01%, 1/13/12 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>565</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>276,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.80%, 6/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,665</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>902,467</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GMAC LLC, 6.875%, 8/28/12 (b)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,731</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>996,606</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Structured Asset Repackaged Trust, 1.633%, 1/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,088</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,775,072</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,677,711</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#151; 3.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cincinnati Bell, Inc., 7.25%, 7/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,420</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,356,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Telekom International Finance BV,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.50%, 6/15/10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,256,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Communications International, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 2/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>610</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>516,975</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 7.50%, 2/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,985</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,529,788</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Corp., 5.246%, 6/15/13 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,542,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wind Acquisition Finance SA, 10.75%, 12/01/15 (b)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,503,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Windstream Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.125%, 8/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,340</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,269,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.625%, 8/01/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,060</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,017,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,992,588</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Edison Mission Energy, 7.50%, 6/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>590</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>541,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Elwood Energy LLC, 8.159%, 7/05/26</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>141</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>113,281</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Midwest Generation LLC Series B, 8.56%, 1/02/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,676</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,642,091</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,296,697</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment &amp; Instruments &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sanmina-SCI Corp., 8.125%, 3/01/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,340</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>469,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Compagnie Generale de Geophysique-Veritas:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 5/15/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>255</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>199,538</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 5/15/17</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>420</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>North American Energy Partners, Inc.,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.75%, 12/01/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>140</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>635,288</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>32 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_34"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="61%"></TD>
     <TD width="8%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rite Aid Corp., 7.50%, 3/01/17</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,355</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,271,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Gas Utilities &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Targa Resources, Inc., 8.50%, 11/01/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>725</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>456,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Biomet, Inc., 10%, 10/15/17</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC, 10.875%, 11/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,420</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,879,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,379,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tenet Healthcare Corp., 6.50%, 6/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,985</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,766,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Viant Holdings, Inc., 10.125%, 7/15/17 (b)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,948</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,474,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,240,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#151; 1.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Real Estate Partners LP:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.125%, 6/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,860</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,156,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.125%, 2/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,480</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,217,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Greektown Holdings, LLC, 10.75%, 12/01/13 (b)(e)(f)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,344</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120,960</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrahs Operating Co., Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10%, 12/15/15 (b)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>84,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.75%, 2/01/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,719</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>380,660</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.75%, 2/01/18 (c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,323</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>80,417</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10%, 12/15/18 (b)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,292</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>361,760</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tropicana Entertainment LLC Series WI,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.625%, 12/15/14 (e)(f)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,405,647</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berkline/BenchCraft, LLC, 4.50%, 11/03/12 (c)(e)(f)(g)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp., 9.875%, 9/24/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>137,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iPayment, Inc., 9.75%, 5/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>950</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>560,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iPayment Investors LP, 12.75%, 7/15/14 (b)(c)(g)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,474</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,118,396</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,816,396</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The AES Corp., 8.75%, 5/15/13 (b)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,803</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,718,910</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 2/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>197,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.375%, 2/01/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>595</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>548,888</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,465,723</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp. (b):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.75%, 12/01/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,210</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>513,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13.50%, 12/01/15 (c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,314</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>635,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,149,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AGY Holding Corp., 11%, 11/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,020,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accuride Corp., 8.50%, 2/01/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>255,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (b)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,125</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,718,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synventive Molding Solutions Sub-Series A,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14%, 1/14/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>692</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>380,484</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,374,234</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Marine &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navios Maritime Holdings, Inc., 9.50%, 12/15/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>676</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>405,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 5.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group, Inc., 10.125%, 10/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,825</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,189,374</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CMP Susquehanna Corp., 9.875%, 5/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,425</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cablevision Systems Corp. Series B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.334%, 4/01/09 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Charter Communications Holdings II LLC (e)(f):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.25%, 9/15/10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,155</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>929,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 10.25%, 9/15/10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>765</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>612,000</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="62%"></TD>
     <TD width="8%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media (concluded)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Comcast Cable Communications LLC,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.875%, 6/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,685</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,730,231</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DirecTV Holdings LLC, 8.375%, 3/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>505,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EchoStar DBS Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7%, 10/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>186,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.125%, 2/01/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Local Insight Regatta Holdings, Inc., 11%, 12/01/17</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,575</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>378,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Network Communications, Inc., 10.75%, 12/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,520</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>235,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC, 10%, 8/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,695</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,048,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ProtoStar I Ltd., 18%, 10/15/12 (b)(h)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,454</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,899,760</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rainbow National Services LLC (b):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.75%, 9/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>925</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>926,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.375%, 9/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,134</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,208,433</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Salem Communications Corp., 7.75%, 12/15/10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>990,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TL Acquisitions, Inc., 10.50%, 1/15/15 (b)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,965</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,333,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,226,004</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AK Steel Corp., 7.75%, 6/15/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,250</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,075,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Freeport-McMoRan Copper &amp; Gold, Inc.,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.084%, 4/01/15 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,495</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,117,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,192,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JC Penny Corp. Inc., 8%, 3/01/10</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,400</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,367,704</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#151; 1.7%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Petroleum Co., 8.25%, 11/01/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chesapeake Energy Corp., 6.375%, 6/15/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>650</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>531,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Compton Petroleum Finance Corp.,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.625%, 12/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>234,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EXCO Resources, Inc., 7.25%, 1/15/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>395,381</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Encore Acquisition Co., 6%, 7/15/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>193,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>OPTI Canada, Inc., 8.25%, 12/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,990</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>676,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Overseas Shipholding Group, Inc., 8.75%, 12/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,650</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,464,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sabine Pass LNG LP, 7.50%, 11/30/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,515</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,018,838</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SandRidge Energy, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.06%, 4/01/14 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>985,758</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.625%, 4/01/15 (c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,035,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Whiting Petroleum Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 5/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,390</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,132,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 5/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,011,927</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bowater, Inc., 4.996%, 3/15/10 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>670</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Domtar Corp., 7.875%, 10/15/11</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>140</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>119,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NewPage Corp.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.42%, 5/01/12 (d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>360,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10%, 5/01/12</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>665</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>201,163</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>801,113</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FTI Consulting, Inc., 7.75%, 10/01/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>345,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Investment Trusts (REITs) &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rouse Co. LP, 5.375%, 11/26/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BMS Holdings, Inc., 9.224%, 2/15/12 (b)(c)(d)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>543</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>130,962</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#151; 1.6%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Nutrition Centers, Inc.:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.584%, 3/15/14 (c)(d)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,327,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.75%, 3/15/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,190,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Group 1 Automotive, Inc., 8.25%, 8/15/13 (f)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,750,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lazy Days' R.V. Center, Inc., 11.75%, 5/15/12 (e)(f)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,454</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>116,320</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sonic Automotive, Inc. Series B, 8.625%, 8/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,085,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,468,820</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 33</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_35"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="62%"></TD>
     <TD width="6%"></TD>
     <TD width="12%"></TD>
     <TD width="3%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Quiksilver, Inc., 6.875%, 4/15/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>287,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Tobacco &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds American, Inc., 7.625%, 6/01/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>878,462</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 1.4%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc., 9.375%, 11/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>270</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>246,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel Group Ltd. (b):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.875%, 1/15/15</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,120</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>834,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.125%, 1/15/15 (c)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,467</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,726,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetroPCS Wireless, Inc., 9.25%, 11/01/14</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>330,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nordic Telephone Co. Holdings ApS,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.875%, 5/01/16 (b)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,850</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,503,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,641,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#151; 28.0%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>130,019,721</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>US Government Obligations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fannie Mae, 7.25%, 1/15/10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,890,443</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Treasury Notes:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.875%, 5/15/09 (h)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,043,362</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.375%, 9/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,425</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,476,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.25%, 8/15/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,815</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,008,127</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total US Government Obligations &#151; 6.3%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,418,307</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Foreign Government Obligations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Colombia Government International Bond,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.75%, 4/23/09</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,050,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Peru Government International Bond,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.375%, 5/03/16</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,871</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,431,165</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Turkey Government International Bond, 7%, 9/26/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,093</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,736,490</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Foreign Government Obligations &#151; 3.3%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,217,655</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sterling Bank Trust Series 2004-2 Class Note,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.081%, 3/30/30 (a)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,594</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,194,019</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sterling Coofs Trust Series 1, 2.362%, 4/15/29 (a)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,871</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,477,973</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Asset-Backed Securities &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,671,992</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common Stocks</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>E*Trade Financial Corp. (f)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,011</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>96,809</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sirva Common Stock</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,109</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,545</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Common Stocks &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>102,354</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Preferred Stocks</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco, LLC, 16.75% (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>177</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>76,995</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Preferred Stocks &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>76,995</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="62%"></TD>
     <TD width="16%"></TD>
     <TD width="20%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Warrants(k)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synventive Molding Solutions (expires 1/15/13)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Warrants &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beneficial</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Interests (l)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Critical Care Systems International, Inc. (g)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 7,579</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berkline Benchcraft Equity LLC (g)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,155</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Other Interests &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $744,323,872) &#151; 118.5%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>551,122,477</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Short-Term Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund, 0.86% (g)(m)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,220,283</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,220,283</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $31,220,283) &#151; 6.7%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,220,283</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Options Purchased</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Call Options</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco LLC, expiring</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>December 2009 at USD 942.86</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Goldman Sachs &amp; Co.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>74,290</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Purchased (Cost &#151; $44,978) &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>74,290</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments (Cost &#151; $775,589,133*) &#151; 125.2%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>582,417,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#151; (25.2)%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(117,255,378)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets &#151; 100.0%</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 465,161,672</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The cost and unrealized appreciation (depreciation) of investments as of February 28,</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2009, as computed for federal income tax purposes, were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="57%"></TD>
     <TD width="42%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp; 775,657,541</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,854,170</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(195,094,661)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(193,240,491)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a) Represents the interest only portion of a mortgage-backed security and has</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>either a nominal or notional amount of principal.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) Represents a payment-in-kind security, which may pay interest/dividends in</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional par/shares.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Variable rate security. Rate shown is as of report date.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Issuer filed for bankruptcy and/or is in default of interest payments.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Non-income producing security.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Represents the current yield as of report date.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) Convertible security.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>34 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_36"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) Represents or includes a to-be-announced transaction. The Fund has committed to</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>purchasing securities for which all specific information is not available at this time.</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="35%"></TD>
     <TD width="38%"></TD>
     <TD width="25%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Market Value</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays Capital PLC</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$124,403,125</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$170,156</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(j) All, or a portion of security, pledged as collateral in connection with open financial</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>futures contracts.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(k) Warrants entitle the Fund to purchase a predetermined number of shares of com-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mon stock. The purchase price and number of shares are subject to adjustment</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>under certain conditions until the expiration date.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(l) Other interests represent beneficial interest in liquidation trusts and other reorgani-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>zation entities and are non-income producing.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(m) Investments in companies considered to be an affiliate of the Fund, for purposes of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Section 2(a)(3) of the Investment Company Act of 1940, were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="52%"></TD>
     <TD width="32%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Affiliate</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 31,220,283</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$20,283</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Fund compliance purposes, the Fund's industry classifications refer to any one</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or ratings group indexes, and/or as defined by Fund management.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>This definition may not apply for purposes of this report, which may combine industry</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sub-classification for reporting ease.</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts sold as of February 28, 2009 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="12%"></TD>
     <TD width="32%"></TD>
     <TD width="17%"></TD>
     <TD width="19%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Face</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issue</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>57</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5-Year U.S. Treasury Bond</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June 2009</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$6,628,587</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16,811</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of February 28, 2009 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="6%"></TD>
     <TD width="14%"></TD>
     <TD width="7%"></TD>
     <TD width="15%"></TD>
     <TD width="22%"></TD>
     <TD width="13%"></TD>
     <TD width="19%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Settlement&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Appreciation</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Purchased</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Sold</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Depreciation)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>529,140</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400,000</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank N.A.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 22,122</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,803,270</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400,000</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,707</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14,055,445</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,721,000</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>466,094</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>191,534</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>139,500</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,157)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,041,224</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,423,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>278,344</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 787,110</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="41%"></TD>
     <TD width="58%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT style="FONT-SIZE: 11pt" color=#231f20 face="Franklin Gothic Book"><SUB>&#149;</SUB></FONT><FONT style="FONT-SIZE: 11pt" color=#231f20 face="Franklin Gothic Book"><SUB>Currency </SUB></FONT><FONT style="FONT-SIZE: 11pt" color=#231f20 face="Franklin Gothic Book"><SUB>Abbreviations:</SUB></FONT><FONT style="FONT-SIZE: 11pt" face="Franklin Gothic Book"><SUB>&nbsp;</SUB></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>British Pound</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Dollar</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Effective September 1, 2008, the Fund adopted Financial Accounting Standards</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Board Statement of Financial Accounting Standards No. 157, &#147;Fair Value Measure-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments&#148; (&#147;FAS 157&#148;). FAS 157 clarifies the definition of fair value, establishes a</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>framework for measuring fair values and requires additional disclosures about the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>use of fair value measurements. Various inputs are used in determining the fair</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value of investments, which are as follows:</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#151; price quotations in active markets/exchanges for identical securities</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2 &#151; other observable inputs (including, but not limited to: quoted prices</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for similar assets or liabilities in markets that are not active, inputs other than</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quoted prices that are observable for the assets or liabilities (such as interest</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and default rates) or other market-corroborated inputs)</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 &#151; unobservable inputs based on the best information available in the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstance, to the extent observable inputs are not available (including the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s own assumption used in determining the fair value of investments)</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodology used for valuing securities are not necessarily an indica-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion of the risk associated with investing in those securities. For information about</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Fund&#146;s policy regarding valuation of investments and other significant accounting</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>policies, please refer to Note 1 of the Notes to Financial Statements.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table summarizes the inputs used as of February 28, 2009 in deter-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mining the fair valuation of the Fund&#146;s investments:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="25%"></TD>
     <TD width="34%"></TD>
     <TD width="4%"></TD>
     <TD width="16%"></TD>
     <TD width="4%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=3 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Financial</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Inputs</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Instruments*</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 31,317,092</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,811</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>449,520,281</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>869,557</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,157)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>101,505,387</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$582,342,760</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>886,368</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,157)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other financial instruments are futures, foreign currency exchange contracts</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and options. Futures and foreign currency exchange contracts are valued at the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unrealized appreciation/depreciation on the instrument and options are shown</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>at market value.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following is a reconciliation of investments for unobservable inputs (Level 3)</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that were used in determining fair value:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="68%"></TD>
     <TD width="13%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Securities</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance as of August 31, 2008</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,082,546</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>340,388</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized loss</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,448,682)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(72,247,376)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net sales</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,890,185)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net transfers in Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>154,668,696</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance as of February 28, 2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>101,505,387</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Included in the related net change in unrealized appreciation/depreciation</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on the Statements of Operations.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 35</FONT></P>
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     <TD noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Assets and Liabilities</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Defined</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Limited</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Opportunity</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Duration</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Trust</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund, Inc.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund, Inc.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income Trust</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2009 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BHL)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(DVF)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(FRA)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BLW)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value &#151; unaffiliated</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 110,916,252</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>93,401,485</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>204,689,054</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>551,196,767</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value &#151; affiliated</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,338,274</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,757,179</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,457,276</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,220,283</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on forward foreign currency exchange contracts</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>256,720</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>108,061</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>515,161</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>795,267</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on unfunded corporate loans</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,352</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on swaps</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>393,681</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,208,287</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency at value</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>694,351</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>238,153</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>332,957</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>709,554</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>173,136</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,895</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swap premiums paid</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>362,580</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,009,941</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash collateral on swaps</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,100,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest receivable</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>674,269</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,730,641</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,110,019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,603,303</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments sold receivable</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,268,125</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,832,827</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,218,443</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,318,759</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends receivable</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,822</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>590</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps receivable</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,500</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>132,591</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73,890</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitment fees receivable</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>327</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,772</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>171</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Principal paydown receivable</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,075</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,851</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,943</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Margin variation receivable</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,578</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Prepaid expenses</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,024</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,294</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,115</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69,729</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other assets</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33,694</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,323</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>83,476</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total assets</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>117,424,747</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>104,080,314</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220,700,441</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>594,082,315</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan payable</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,500,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,500,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on forward foreign currency exchange contracts</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>856</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,157</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on unfunded corporate loans</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,893</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on swaps</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,702</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,666,125</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,007,760</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swap premiums received</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>227,742</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps payable</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120,724</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>117,978</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments purchased payable</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,406,739</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>965,644</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>895,270</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>128,279,810</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest expense payable</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,062</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,809</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,900</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deferred income</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,696</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,592</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,144</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank overdraft</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,377</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48,737</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer&#146;s and Directors&#146;/Trustees&#146; fees payable</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64,316</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment advisory fees payable</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>91,564</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56,713</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>126,188</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>202,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income dividends to shareholders payable</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>201,691</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>229,564</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143,253</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other liabilities</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>412,558</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495,052</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other affiliates payable</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>591</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,190</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,085</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other accrued expenses payable</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,564</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>204,344</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total liabilities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30,030,750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33,761,624</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48,465,261</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>128,920,643</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87,393,997</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70,318,690</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>172,235,180</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>465,161,672</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets Consist of</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Par value</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>per share</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9,009</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,222,669</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,833,682</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,890</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Paid-in capital in excess of par</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>127,890,080</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>230,656,312</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>347,664,609</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>701,305,214</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Distributions in excess of net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,838,491)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,012,286)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(583,822)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,510,833)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accumulated net realized loss</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,032,343)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(45,710,037)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(40,354,660)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(38,302,106)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(35,634,258)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(113,837,968)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(136,324,629)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(192,367,493)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87,393,997</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70,318,690</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>172,235,180</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>465,161,672</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.70</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.39</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.61</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment at cost &#151; unaffiliated</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp; 146,762,245</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>199,054,292</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>335,560,618</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>744,368,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment at cost &#151; affiliated</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,338,274</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,757,179</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,457,276</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,220,283</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency at cost</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 705,770</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>265,798</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>341,841</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>714,689</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Par value per share</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.001</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.10</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.10</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.001</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares outstanding</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,008,704</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,226,693</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,336,820</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,889,650</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>36 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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     <TD noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Assets and Liabilities (concluded)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior Floating</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior Floating</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2009 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate Fund, Inc.</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate Fund II, Inc.</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment at value &#151; Master Senior Floating Rate (the &#147;Master LLC&#148;)</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 268,277,380</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>122,821,506</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital shares sold receivable</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>604,596</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>522,999</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Prepaid expenses</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>197,337</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>102,912</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total assets</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>269,079,313</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>123,447,417</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income dividends payable</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,294,538</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575,561</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Contributions payable to the Master LLC</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>604,596</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>522,999</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Administration fees payable</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>52,997</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,822</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other affiliates payable</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45,892</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,686</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer&#146;s and Directors&#146; fees payable</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>157</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other accrued expenses payable</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30,790</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,918</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total liabilities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,028,970</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,168,055</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 267,050,343</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>122,279,362</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets Consist of</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Par value $0.10 per share, 1,000,000 shares authorized</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,489,008</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,898,017</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Paid-in capital in excess of par</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>746,184,668</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>223,669,959</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Undistributed net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>201,596</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100,753</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accumulated net realized loss</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(361,736,583)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(45,991,526)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(122,088,346)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(57,397,841)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 267,050,343</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>122,279,362</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.95</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.44</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cost &#151; investment in Master LLC</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 390,365,726</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180,219,347</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares outstanding</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>44,890,078</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,980,172</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 37</FONT></P>
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     <TD noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Operations</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
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     <TD noWrap align=left>&nbsp;</TD>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Defined</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Limited</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Opportunity</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Duration</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Trust</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund, Inc.</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund, Inc.</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income Trust</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended February 28, 2009 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BHL)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(DVF)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(FRA)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BLW)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=center><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Income</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,740,508</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8,997,785</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 13,656,833</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 23,011,421</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility and other fees</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,316</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>79,411</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>447,438</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>291,886</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income &#151; affiliated</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,960</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,840</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,202</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,189</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,817,784</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,095,036</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,128,473</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,329,496</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=center><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment advisory</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>649,684</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>520,825</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,005,216</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,421,884</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Professional</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>144,069</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>57,637</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>79,380</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>81,529</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Registration</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,442</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,046</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,271</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,645</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrowing costs</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,362</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>172,159</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>144,633</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accounting services</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,130</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,833</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,418</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,757</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfer agent</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,280</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,337</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,285</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,817</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Printing</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,935</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,125</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,861</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,042</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Custodian</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,588</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,312</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,870</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,705</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer and Directors/Trustees</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,513</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,947</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,536</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,883</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Offering costs</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,696</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Miscellaneous</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,895</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,620</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,908</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,581</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses excluding interest expense</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>884,898</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>824,841</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,347,074</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,679,843</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest expense</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>286,443</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>727,985</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,081,126</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>101,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,171,341</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,552,826</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,428,200</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,781,781</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Less fees waived by advisor</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,484)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Less fees paid indirectly</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(396)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(338)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(456)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,413)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after waiver and fees paid indirectly</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,170,945</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,552,488</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,427,744</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,776,884</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,646,839</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,542,548</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,700,729</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,552,612</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Realized and Unrealized Gain (Loss)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss) from:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,444,940)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(27,584,924)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(33,647,266)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(24,137,791)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Futures and swaps</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(857,171)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,244,905)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>320,258</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85,002</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency transactions</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,515,750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>780,893</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,689,793</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,859,857</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,786,361)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(29,048,936)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(30,637,215)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16,192,932)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation on:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(35,960,131)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(63,633,292)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(86,533,722)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(130,399,531)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Futures and swaps</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(217,498)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,027,675)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,895,546)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(53,465)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency transactions</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(734,047)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(143,472)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(761,212)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,461,822)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded corporate loans</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,866)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,059)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>191,960</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,733</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(36,923,542)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(68,806,498)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(90,998,520)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(132,888,085)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total realized and unrealized loss</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(39,709,903)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(97,855,434)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(121,635,735)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(149,081,017)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Decrease in Net Assets Resulting from Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (35,063,064)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (90,312,886)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (109,935,006)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (127,528,405)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Note 8 of the Notes to Financial Statements for details of short-term borrowings.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>38 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Operations (concluded)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Blackrock</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior Floating</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior Floating</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended February 28, 2009 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate Fund, Inc.</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate Fund II, Inc.</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Income</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Investment income allocated from the Master LLC:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12,500,246</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,686,904</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income &#151; affiliated</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>128,265</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>59,041</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility and other fees</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>163,730</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>74,432</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expenses</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,552,074)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(707,102)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,240,167</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,113,275</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Administration</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>372,798</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>271,770</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfer agent</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>159,158</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48,716</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tender offer</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63,623</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,411</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Professional</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45,125</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,863</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Printing</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,905</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,467</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Registration</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,305</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,608</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer and Directors</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>460</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>212</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Miscellaneous</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,062</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,937</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>702,436</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425,984</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,537,731</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,687,291</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Realized and Unrealized Gain (Loss) Allocated from the Master LLC</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss) from:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19,231,655)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,737,548)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>114,163</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>52,739</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency transactions</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,045,418</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>940,794</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(17,072,074)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,744,015)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation on investments, swaps, foreign currency and unfunded corporate loans</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(81,616,206)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(38,089,005)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total realized and unrealized loss</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(98,688,280)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(45,833,020)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Decrease in Net Assets Resulting from Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (88,150,549)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(41,145,729)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 39</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Changes in Net Assets</FONT>&nbsp;</TD>
     <TD colSpan=3 noWrap align=right><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Period</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>January 31,</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP></B><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>to</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Increase (Decrease) in Net Assets:</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,646,839</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,088,383</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,786,361)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>641,116</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(36,923,542)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,289,284</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) in net assets resulting from operations</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(35,063,064)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,018,783</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividends and Distributions to Shareholders From</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,047,240)</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,435,571)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(481,911)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in net assets resulting from dividends and distributions to shareholders</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,047,240)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,917,482)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Share Transactions</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net proceeds from the issuance of shares</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>127,448,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital charges with respect to issuance of shares</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(200,500)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reinvestment of dividends</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>809,153</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>224,341</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase in net assets resulting from share transactions</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>809,153</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>127,471,841</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total increase (decrease) in net assets</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(40,301,151)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>127,573,142</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beginning of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>127,695,148</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>122,006</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87,393,997</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 127,695,148</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period distributions in excess of net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,838,491)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,438,090)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commencement of operations.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A portion of the dividends from net investment income for the six months ended February 28, 2009 may be deemed a tax return of capital or realized gain at fiscal year end.</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="52%"></TD>
     <TD width="26%"></TD>
     <TD width="9%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=3 noWrap align=right><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Increase (Decrease) in Net Assets:</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,542,548</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19,628,678</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized loss</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(29,048,936)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(13,105,495)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(68,806,498)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(28,460,128)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net decrease in net assets resulting from operations</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(90,312,886)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,936,945)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividends and Distributions to Shareholders From</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,379,189)</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(20,910,360)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(443,389)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in net assets resulting from dividends and distributions to shareholders</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,379,189)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,353,749)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Share Transactions</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reinvestment of dividends</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>303,686</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>205,747</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total decrease in net assets</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(99,388,389)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(43,084,947)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beginning of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>169,707,079</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>212,792,026</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70,318,690</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 169,707,079</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period distributions in excess of net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,012,286)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (175,645)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A portion of the dividends from net investment income for the six months ended February 28, 2009 may be deemed a tax return of capital or realized gain at fiscal year end.</FONT><BR>
<BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>40 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="51%"></TD>
     <TD width="38%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Changes in Net Assets</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Increase (Decrease) in Net Assets:</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11,700,729</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 26,533,760</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized loss</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(30,637,215)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10,426,510)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(90,998,520)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(26,845,871)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net decrease in net assets resulting from operations</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(109,935,006)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10,738,621)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividends to Shareholders From</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(13,133,191)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(28,321,303)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Share Transactions</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reinvestment of dividends</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>298,574</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total decrease in net assets</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(122,769,623)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(39,059,924)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beginning of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295,004,803</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>334,064,727</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 172,235,180</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 295,004,803</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period undistributed (distributions in excess of) net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (583,822)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 848,640</FONT>&nbsp;</TD></TR></TABLE>
<P align=center><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="56%"></TD>
     <TD width="22%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;&nbsp;&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Period</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>November 1,</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007 to</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Increase (Decrease) in Net Assets:</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp;&nbsp;&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 21,552,612</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 41,919,013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 55,219,613</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16,192,932)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(24,118,166)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,120,082</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(132,888,085)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(40,618,831)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,221,592)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) in net assets resulting from operations</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(127,528,405)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(22,817,984)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,118,103</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividends and Distributions to Shareholders From</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(23,702,670)</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(43,898,690)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(51,967,739)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,229,742)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,074,826)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in net assets resulting from dividends and distributions to shareholders</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(23,702,670)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(43,898,690)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(55,272,307)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Share Transactions</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reinvestment of dividends</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,057,525</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total decrease in net assets</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(151,231,075)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(66,716,674)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16,096,679)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beginning of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>616,392,747</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>683,109,421</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>699,206,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 465,161,672</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 616,392,747</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 683,109,421</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of undistributed (distributions in excess of) net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (5,510,833)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (3,360,775)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 800,386</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A portion of the dividends from net investment income for the six months ended February 28, 2009 may be deemed a tax return of capital or realized gain at fiscal year end.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 41</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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     <TD noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Changes in Net Assets</FONT>&nbsp;</TD>
     <TD colSpan=3 noWrap align=right><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund, Inc.</FONT></B>&nbsp;</TD></TR>
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     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;&nbsp;&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Increase (Decrease) in Net Assets:</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,537,731</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 26,675,323</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized loss</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(17,072,074)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(14,362,509)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(81,616,206)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(18,260,695)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net decrease in net assets resulting from operations</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(88,150,549)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,947,881)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividends to Shareholders From</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10,504,204)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(26,664,539)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Share Transactions</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net decrease in net assets resulting from capital share transactions</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(33,695,125)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(73,502,678)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total decrease in net assets</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(132,349,878)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(106,115,098)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beginning of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>399,400,221</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>505,515,319</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>267,050,343</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 399,400,221</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period undistributed net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>201,596</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 168,069</FONT>&nbsp;</TD></TR></TABLE><BR>
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     <TD width="9%"></TD>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=3 noWrap align=right><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund II, Inc.</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;&nbsp;&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Increase (Decrease) in Net Assets:</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,687,291</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12,299,609</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized loss</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,744,015)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,857,340)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(38,089,005)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,921,385)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net decrease in net assets resulting from operations</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(41,145,729)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,479,116)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividends and Distributions to Shareholders From</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,671,647)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,294,014)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(460,006)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in net assets resulting from dividends and distributions to shareholders</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,131,653)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,294,014)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Share Transactions</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net decrease in net assets resulting from capital share transactions</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(18,080,305)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(45,450,688)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total decrease in net assets</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(64,357,687)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(61,223,818)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beginning of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>186,637,049</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>247,860,867</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>122,279,362</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 186,637,049</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period undistributed net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100,753</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 85,109</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>42 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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     <TD noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Cash Flows</FONT>&nbsp;</TD>
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     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Defined</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Opportunity</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Trust</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund, Inc.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund, Inc.</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended February 28, 2009 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BHL)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(DVF)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(FRA)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash Provided by Operating Activities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net decrease in net assets resulting from operations</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (35,063,064)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(90,312,886)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(109,935,006)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Adjustments to reconcile net decrease in net assets resulting from operations to net cash</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>provided by operating activities:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in receivables</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>729,618</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,356,678</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>823,067</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase (decrease) in prepaid expenses and other assets</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(33,694)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,880</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in other liabilities</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(287,661)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(492,982)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45,944</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized loss</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41,118,713</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>95,547,870</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>124,978,057</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amortization of premium and discount on investments</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,185,459)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(374,850)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,109,000)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Paid-in-kind income</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(507,299)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(516,550)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash collateral on swaps</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,100,000)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swap premiums paid</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(385,438)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,838,750)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Proceeds from sales and paydowns of long-term securities</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,874,180</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>66,797,973</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>118,160,338</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases of long-term securities</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(28,225,350)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,875,725)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(53,938,622)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net proceeds from sales of short-term investments</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,432,371</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,835,226</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net purchases of short-term investments</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,822,607)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash provided by operating activities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,359,654</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,488,567</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73,854,751</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash Used for Financing Activities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash receipts from loans</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,000,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash payments on loans</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(26,500,000)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(56,000,000)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(96,000,000)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash dividends paid to shareholders</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,237,232)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,256,909)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,839,203)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net cash used for financing activities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16,737,232)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(51,256,909)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(74,839,203)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash Impact from Foreign Exchange Fluctuations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash impact from foreign exchange fluctuations</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,419)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(27,645)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,884)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) in cash</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>611,003</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(795,987)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(993,336)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash at beginning of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>256,484</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,009,763</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,277,556</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash at end of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 867,487</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>213,776</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>284,220</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash Flow Information</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash paid for interest</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 385,363</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>770,824</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,149,608</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Non-Cash Financing Activities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reinvestment of dividends</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 809,153</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>303,686</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>298,574</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 43</FONT></P>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>
     <TD colSpan=4 noWrap align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Period</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>January 31,</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP></B><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>to</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share Operating Performance</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.31</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.33</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.52</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.47</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.45)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.21</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3.93)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.68</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions from:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.68)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.62)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.06)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total dividends and distributions</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.68)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.68)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital charges with respect to issuance of shares</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.02)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.70</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.31</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market price, end of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.35</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.66</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>5</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on net asset value</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(27.30)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.79%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on market price</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(20.79)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11.44)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees paid indirectly and excluding interest expense</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.91%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.48%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees paid indirectly</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.53%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.78%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.53%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.78%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.02%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.52%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets, end of period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87,394</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>127,695</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan outstanding, end of period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average loan outstanding during the period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,522</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,788</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,237</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,317</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commencement of operations.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from initial offering price of $15.00 per share.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A portion of the distribution may be deemed a tax return of capital or net realized gain.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>returns exclude the effects of sales charges.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>44 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
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     <TD noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>
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     <TD colSpan=9 noWrap align=right><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B>&nbsp;</TD></TR>
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     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>
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     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Period</FONT></B>&nbsp;</TD></TR>
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     <TD colSpan=2 noWrap align=right>&nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>
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     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>January 31,</FONT></B>&nbsp;</TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
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     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2005</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP></B><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>to</FONT></B>&nbsp;</TD></TR>
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     <TD colSpan=4 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended August 31,</FONT></B>&nbsp;</TD>
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     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2006</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2005</FONT></B>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share Operating Performance</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13.94</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17.50</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18.70</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18.38</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.10</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.62</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.61</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.83</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.77</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.84</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8.04)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3.41)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.23)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.25</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.77)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7.42)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.80)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.02</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.07</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions from:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.77)</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.72)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.80)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.70)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.75)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.04)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total dividends and distributions</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.77)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.76)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.80)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.70)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.75)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital charges with respect to issuance of shares</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.00)</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.04)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13.94</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17.50</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18.70</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18.38</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market price, end of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.03</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.77</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17.16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18.85</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17.53</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=11>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>5</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on net asset value</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(53.82)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10.17)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.00%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.99%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.42%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on market price</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(47.13)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16.08)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.19%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18.36%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8.53)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD></TR>
<TR>
     <TD colSpan=11>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after waiver and fees paid indirectly and excluding interest expense</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.62%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.23%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.30%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.29%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after waiver and fees paid indirectly</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.05%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.77%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.66%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.17%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.20%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.05%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.77%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.66%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.17%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.48%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.80%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.40%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.63%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.57%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.88%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>
<TR>
     <TD colSpan=11>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets, end of period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70,319</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>169,707</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>212,792</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>224,156</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 219,748</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan outstanding, end of period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>88,800</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 101,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average loan outstanding during the period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,235</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64,335</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>95,465</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>86,132</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 75,543</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,992</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,591</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,955</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,524</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>3,167</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commencement of operations.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A portion of the distribution may be deemed a tax return of capital or net realized gain.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amount is less than $(0.01) per share.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns exclude the effects of sales charges.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 45</FONT></P>
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     <TD noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>
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     <TD colSpan=9 noWrap align=right><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B>&nbsp;</TD></TR>
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     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>
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     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Period</FONT></B>&nbsp;</TD></TR>
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     <TD colSpan=2 noWrap align=right>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>
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     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
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     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2003</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP></B><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>to</FONT></B>&nbsp;</TD></TR>
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     <TD colSpan=3 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended August 31,</FONT></B>&nbsp;</TD>
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     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
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     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2006</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2005</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2004</FONT></B>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share Operating Performance</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16.12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18.25</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.32</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.35</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.10</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.64</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.45</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.54</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.40</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.23</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.66</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6.65)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.03)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.07)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.06)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.08</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.02</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6.01)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.58)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.47</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.34</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.31</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.68</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions from:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.72)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.55)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.54)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.37)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.11)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.60)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.01)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total dividends and distributions</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.72)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.55)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.54)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.37)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.12)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.60)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital charges with respect to issuance of shares</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.02)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.39</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16.12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18.25</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.32</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.35</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.16</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market price, end of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.74</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.49</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16.70</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17.49</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17.85</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.44</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=13>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>3</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on net asset value</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(37.26)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.56)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.74%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.92%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.27%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.50%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on market price</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(35.03)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.28)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.85%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.91%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.47)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.29%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD></TR>
<TR>
     <TD colSpan=13>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees paid indirectly and excluding interest expense</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.31%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.18%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.20%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.14%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.22%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.71%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees paid indirectly</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.37%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.60%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.33%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.54%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.18%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.87%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses before fees paid indirectly</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.37%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.61%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.33%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.54%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.18%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.87%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.37%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.61%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.33%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.54%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.18%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.08%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.40%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.49%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.88%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.30%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.34%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.80%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD></TR>
<TR>
     <TD colSpan=13>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets, end of period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>172,235</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295,005</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>334,065</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>353,713</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>354,114</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 350,254</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan outstanding, end of period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>101,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>107,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135,200</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>123,600</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 123,225</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average loan outstanding during the period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63,307</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>102,272</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>133,763</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>101,916</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>117,702</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 38,654</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>57%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>43%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,360</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,906</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,122</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,616</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,865</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,842</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commencement of operations.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns exclude the effects of sales charges.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>46 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
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     <TD noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>
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     <TD colSpan=7 noWrap align=right><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B>&nbsp;</TD></TR>
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     <TD colSpan=2 noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>November 1,</FONT></B>&nbsp;</TD>
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     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>July 30, 2003</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD></TR>
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     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007 to</FONT></B>&nbsp;</TD>
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     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>through</FONT></B>&nbsp;</TD></TR>
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     <TD colSpan=3 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended October 31,</FONT></B>&nbsp;</TD>
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     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD>
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     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2006</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2005</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2004</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2003</FONT></B>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share Operating Performance</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16.71</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18.52</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.01</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.17</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20.13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.74</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.10</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.58</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.14</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.35</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.46</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.46</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.33</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.04)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.76)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.49)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.03</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.94)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.43</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3.46)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.62)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.01</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.38</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.52</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.89</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.93</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions from:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.64)</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.19)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.41)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.52)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.33)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.49)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.25)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.06)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.15)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.01)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.03)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.02)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total dividends and distributions</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.64)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.19)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.50)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.54)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.48)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.50)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.25)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital charges with respect to issuance of shares</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.04)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.61</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16.71</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18.52</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.01</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.17</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20.13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.74</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market price, end of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.96</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.57</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16.68</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18.85</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17.48</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.95</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18.80</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=14>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>5</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on net asset value</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(20.15)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.60)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.66%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.85%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.93%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.17%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.71%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on market price</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(13.14)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5.70)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.03)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17.31%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5.30)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.64%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.77)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD></TR>
<TR>
     <TD colSpan=14>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after waiver and fees paid indirectly and</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>excluding interest expense</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.68%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.76%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.83%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.91%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.92%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.90%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.79%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after waiver and fees paid indirectly</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.72%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.38%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.14%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.19%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.71%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.25%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.82%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after waiver and before fees paid indirectly</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.72%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.39%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.16%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.20%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.71%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.28%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.82%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.72%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.39%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.16%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.20%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.71%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.26%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.82%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.73%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.84%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.92%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.10%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.42%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.34%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.87%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>
<TR>
     <TD colSpan=14>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets, end of period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>465,162</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 616,393</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>638,109</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>699,206</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>704,961</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>739,225</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>724,747</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reverse repurchase agreements outstanding,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>end of period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 64,538</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>109,287</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>176,010</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>159,416</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>118,993</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reverse repurchase agreements average</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>daily balance (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,523</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 120,295</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>172,040</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>179,366</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>186,660</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195,845</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,591</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>191%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>132%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>215%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>127%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10,551</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,251</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,178</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,005</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,637</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,091</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commencement of operations.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period, reflects a deduction of $0.90 per share sales charge from the initial offering price of $20.00 per share.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A portion of the distribution may be deemed a tax return of capital or net realized gain.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns exclude the effects of sales charges.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes mortgage dollar roll transactions; excluding these transactions the portfolio turnover would have been 63%.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes TBA transactions. Excluding these transactions the portfolio turnover would have been 24%.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 47</FONT></P>
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     <TD noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>
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     <TD colSpan=6 noWrap align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund, Inc.</FONT></B>&nbsp;</TD></TR>
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     <TD colSpan=2 noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>
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     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
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     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended August 31,</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2006</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2005</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2004</FONT></B>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share Operating Performance</FONT></B>&nbsp;</TD>
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     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.98</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.60</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.92</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.01</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.91</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.40</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.23</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.51</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.52</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.37</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.30</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.04)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.62)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.32)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.08)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.10</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.51</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.81)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.11)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.28</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.44</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.47</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.81</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends from net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.22)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.51)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.60)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.53)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.37)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.30)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.95</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.98</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.60</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.92</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.01</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.91</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=13>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on net asset value</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(22.69)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.32)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.07%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.97%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.38%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.73%</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=13>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets</FONT></B><B><SUP><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>5</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.51%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.28%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.44%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.43%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.41%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.44%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.07%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.16%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.67%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.84%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.11%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.41%</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=13>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets, end of period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>267,050</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>399,400</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>505,515</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 601,807</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>676,703</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>756,795</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover for the Master LLC</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>76%</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns exclude the early withdrawal charge, if any. The Fund is a continuously offered closed-end fund, the shares of which are offered at net asset value.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No secondary market for the Fund&#146;s shares exists.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the year ended August 31, 2008, the Fund recorded a refund related to overpayments of prior years&#146; tender offer fees, which increased net investment income per</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>share $0.02 and increased total investment return 0.24%. The expense ratio excluding the refund was 1.46%.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes the Fund&#146;s share of the Master LLC&#146;s allocated expenses and/or net investment income.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>48 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
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     <TD noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>
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     <TD colSpan=7 noWrap align=right><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund II, Inc.</FONT></B>&nbsp;</TD></TR>
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     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>
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     <TD colSpan=2 noWrap align=right>&nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>
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     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
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     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended August 31,</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2006</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2005</FONT></B>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2004</FONT></B>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share Operating Performance</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
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     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period</FONT>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.67</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.35</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.70</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.79</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.67</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.13</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
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     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.24</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.54</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.63</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.56</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.39</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.30</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.21)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.69)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.34)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.10)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.11</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.55</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.97)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.15)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.29</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.46</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.50</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.85</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions from:</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.24)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.53)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.64)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.55)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.38)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.31)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.02)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total dividends and distributions</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.26)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.53)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.64)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.55)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.38)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.31)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.44</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.67</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.35</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.70</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.79</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.67</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=13 align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on net asset value</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(22.75)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.61)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.89%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.90%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.26%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.41%</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=13 align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets</FONT></B><B><SUP><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>5</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.67%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.59%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.57%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.54%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.57%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.90%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.96%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.53%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.70%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.03%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.20%</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=13 align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets, end of period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>122,279</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>186,637</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>247,861</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>322,202</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>355,108</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295,382</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover for the Master LLC</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>76%</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns exclude the early withdrawal charge, if any. The Fund is a continuously offered closed-end fund, the shares of which are offered at net asset value.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No secondary market for the Fund&#146;s shares exists.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the year ended August 31, 2008, the Fund recorded a refund related to overpayments of prior years&#146; tender offer fees, which increased net investment income per</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>share $0.02 and increased total investment return 0.11%. The expense ratio excluding the refund was 1.64%.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes the Fund&#146;s share of the Master LLC&#146;s allocated expenses and/or net investment income.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 49</FONT></P>
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<FONT color="#005595" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Notes to Financial Statements </FONT><FONT color="#005595" size=2 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">(Unaudited)</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-Demi,Arial,Helvetica,sans-serif">1. Organization and Significant Accounting Policies:</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Defined Opportunity Credit Trust (&#147;Defined Opportunity&#148;),</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Diversified Income Strategies Fund, Inc. (&#147;Diversified Income&#148;),</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc. (&#147;Floating Rate</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Income&#148;), BlackRock Limited Duration Income Trust (&#147;Limited Duration&#148;)</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Senior Floating Rate Fund, Inc. (&#147;Senior Floating Rate&#148;) and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Senior Floating Rate Fund II, Inc. (&#147;Senior Floating Rate II&#148;)</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(referred to as the &#147;Funds&#148; or individually as the &#147;Fund&#148;) are registered</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">under the Investment Company Act of 1940, as amended (the &#147;1940 Act&#148;).</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Defined Opportunity and Limited Duration are organized as Delaware</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statutory trusts. Diversified Income, Floating Rate Income, Senior Floating</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Rate and Senior Floating Rate II are organized as Maryland corporations.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Defined Opportunity, Diversified Income, Floating Rate Income and Limited</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Duration are registered as diversified, closed-end management investment</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">companies. Senior Floating Rate and Senior Floating Rate II are registered</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">as continuously offered, non-diversified, closed-end management invest-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ment companies. The Funds&#146; financial statements are prepared in conform-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ity with accounting principles generally accepted in the United States of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">America, which may require the use of management accruals and estimates.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Actual results may differ from these estimates. The Funds determine and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">make available for publication the net asset value of their Common Shares</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">on a daily basis.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Prior to commencement of operations on January 31, 2008, Defined</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Opportunity had no operations other than those relating to organizational</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">matters and the sale of 8,517 Common Shares on November 13, 2007</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to BlackRock Advisors, LLC (the &#147;Advisor&#148; or &#147;Administrator&#148;), an indirect,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">wholly owned subsidiary of BlackRock, Inc., for &#36;122,006. Investment</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">operations for Defined Opportunity commenced on January 31, 2008.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Defined Opportunity will terminate no later than December 31, 2017.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Senior Floating Rate and Senior Floating Rate II seek to achieve their</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">investment objectives by investing all their assets in the Master Senior</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Floating Rate LLC (the &#147;Master LLC&#148;), which has the same investment</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">objective and strategies of the Funds. The value of each Fund&#146;s invest-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ment in the Master LLC reflects each Fund&#146;s proportionate interest in the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">net assets of the Master LLC. The performance of each Fund is directly</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">affected by the performance of the Master LLC. The financial statements</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">of the Master LLC, including the Schedule of Investments, are included</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">elsewhere in this report and should be read in conjunction with Senior</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Floating Rate and Senior Floating Rate II&#146;s financial statements. The per-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">centage of the Master LLC owned by Senior Floating Rate and Senior</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Floating Rate II at February 28, 2009 was 69% and 31%, respectively.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The following is a summary of significant accounting policies followed</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">by the Funds:</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Valuation of Investments: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Funds value their bond investments on
the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">basis of last available bid prices or current market quotations provided by</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">dealers or pricing services selected under the supervision of the Funds&#146;</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Board of Directors/Trustees (the &#147;Board&#148;). Floating rate loan interests are</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">valued at the mean between the last available bid prices from one or more</FONT></P>
<P align="left">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">brokers or dealers as obtained from pricing services. In determining the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">value of a particular investment, pricing services may use certain information</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">with respect to transactions in such investments, quotations from dealers,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">pricing matrixes, market transactions in comparable investments, various</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">relationships observed in the market between investments and calculated</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">yield measures based on valuation technology commonly employed in the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">market for such investments. The fair value of asset-backed and mortgage</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">backed securities are estimated based on models that consider the esti-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">mated cash flows of each tranche of the entity, establishes a benchmark</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">yield and develops an estimated tranche specific spread to the benchmark</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">yield based on the unique attributes of the tranche. Financial futures con-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tracts traded on exchanges are valued at their last sale price. TBA commit-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ments are valued at the current market value of the underlying securities.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Swap agreements are valued utilizing quotes received daily by the Funds&#146;</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">pricing service or through brokers which are derived using daily swap curves</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and trades of underlying securities. Short-term securities with maturities</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">less than 60 days are valued at amortized cost, which approximates fair</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">value. Investments in open-end investment companies are valued at net</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">asset value each business day. The Funds value their investments in Cash</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Sweep Series and Money Market Series, each of BlackRock Liquidity Series,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">LLC, at fair value, which is ordinarily based upon their pro-rata ownership</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">in the net assets of the underlying fund.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Equity investments traded on a recognized securities exchange or the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">NASDAQ Global Market System are valued at the last reported sale price</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">that day or the NASDAQ official closing price, if applicable. For equity</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">investments traded on more than one exchange, the last reported sale</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">price on the exchange where the stock is primarily traded is used. Equity</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">investments traded on a recognized exchange for which there were no</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">sales on that day are valued at the last available bid price. If no bid price</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">is available, the prior day&#146;s price will be used, unless it is determined that</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">such prior day&#146;s price no longer reflects the fair value of the security.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Exchange-traded options are valued at the mean between the last bid and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ask prices at the close of the options market in which the options trade. An</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">exchange-traded option for which there is no mean price is valued at the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">last bid price. If no bid price is available, the prior day&#146;s price will be used</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">unless it is determined that the prior day&#146;s price no longer reflects the fair</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">value of the option. Over-the-counter options and swaptions are valued by</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">an independent pricing service using a mathematical model which incorpo-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">rates a number of market data factors, such as the trades and prices of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the underlying securities.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">In the event that application of these methods of valuation results in a</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">price for an investment which is deemed not to be representative of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">market value of such investment, the investment will be valued by a</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">method approved by the Board as reflecting fair value (&#147;Fair Value Assets&#148;).</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">When determining the price for Fair Value Assets, the investment advisor</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and/or sub-advisor seeks to determine the price that each Fund might</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">reasonably expect to receive from the current sale of that asset in an</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">arm&#146;s-length transaction. Fair value determinations shall be based upon</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">all available factors that the investment advisor and/or sub-advisor deems</FONT></P>
<P align="left">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">50 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>

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<FONT color="#005595" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Notes to Financial Statements (continued)</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">relevant. The pricing of all Fair Value Assets is subsequently reported to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the Board or a committee thereof.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Generally, trading in foreign securities is substantially completed each</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">day at various times prior to the close of business on the New York Stock</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Exchange (&#147;NYSE&#148;). The values of such securities used in computing the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">net assets of each Fund are determined as of such times. Foreign currency</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">exchange rates will be determined as of the close of business on the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">NYSE. Occasionally, events affecting the values of such securities and such</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">exchange rates may occur between the times at which they are determined</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and the close of business on the NYSE that may not be reflected in the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">computation of the Fund&#146;s net assets. If events (for example, a company</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">announcement, market volatility or a natural disaster) occur during such</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">periods that are expected to materially affect the value of such securities,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">those securities may be valued at their fair value as determined in good</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">faith by the Board or by the investment advisor using a pricing service</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and/or procedures approved by the Board. Foreign currency exchange</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">contracts and forward foreign currency exchange contracts are valued at</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the mean between the bid and ask prices. Interpolated values are derived</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">when the settlement date of the contract is an interim date for which</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">quotations are not available.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Senior Floating Rate and Senior Floating Rate II record their investments in</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the Master LLC at fair value. Valuation of securities held by the Master LLC</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">is discussed in Note 1 of the Master LLC&#146;s Notes to Financial Statements,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">which are included elsewhere in this report.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Effective September 1, 2008, the Senior Floating Rate and Senior Floating</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Rate II implemented Financial Accounting Standards Board Statement</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">of Financial Accounting Standards No. 157, &#147;Fair Value Measurements&#148;</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(&#147;FAS 157&#148;). FAS 157 clarifies the definition of fair value, establishes a</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">framework for measuring fair values and requires additional disclosures</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">about the use of fair value measurements. Various inputs are used in</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">determining the fair value of investments, which are as follows:</FONT><BR>
<BR>
<FONT color="#231f20" size=5 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">&#149;</FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Level 1 &#151; price quotations in active markets/exchanges for
identical</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">securities</FONT><BR>
<BR>
<FONT color="#231f20" size=5 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">&#149;</FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Level 2 &#151; other observable inputs (including, but not limited
to: quoted</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">prices for similar assets or liabilities in markets that are not active,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">inputs other than quoted prices that are observable for the assets or</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">liabilities (such as interest rates, yield curves, volatilities, prepayment</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">speeds, loss severities, credit risks, and default rates) or other market-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">corroborated inputs</FONT><BR>
<BR>
<FONT color="#231f20" size=5 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">&#149;</FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Level 3 &#151; unobservable inputs based on the best information
available</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">in the circumstance, to the extent observable inputs are not available</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(including the Funds&#146; own assumptions used in determining the fair</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">value of investments)</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The inputs or methodology used for valuing securities are not necessar-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ily an indication of the risk associated with investing in those securities.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The following table summarizes the inputs used as of February 28, 2009</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">in determining the fair valuation of the Senior Floating Rate&#146;s investments:</FONT></P>
<TABLE border=0 cellspacing=0>
<TR>
     <TD width=49%></TD>
     <TD width=50%></TD></TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=right nowrap>
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Investments in</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Valuation Inputs</FONT></B>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Securities</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Level 1</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Level 2</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#36; 268,277,380</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Level 3</FONT>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Total</FONT></B>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#36; 268,277,380</FONT>&nbsp;</TD>
</TR>
</TABLE><BR>
<P align="left">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The following table summarizes the inputs used as of February 28,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">2009 in determining the fair valuation of the Senior Floating Rate II&#146;s</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">investments:</FONT></P>
<TABLE border=0 cellspacing=0>
<TR>
     <TD width=49%></TD>
     <TD width=50%></TD></TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=right nowrap>
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Investments in</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Valuation Inputs</FONT></B>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Securities</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Level 1</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Level 2</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#36; 122,821,506</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Level 3</FONT>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Total</FONT></B>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#36; 122,821,506</FONT>&nbsp;</TD>
</TR>
</TABLE><BR>
<P align="left">
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Derivative Financial Instruments: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Funds may engage in various
port-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">folio investment strategies both to increase the returns of the Funds and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to hedge, or protect, their exposure to interest rate movements and move-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ments in the securities markets. Losses may arise if the value of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">contract decreases due to an unfavorable change in the price of the under-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">lying security, or if the counterparty does not perform under the contract.</FONT><BR>
<BR>
<FONT color="#231f20" size=5 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">&#149;</FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Financial futures contracts &#151; The Funds may purchase or sell
financial</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">futures contracts and options on financial futures contracts for invest-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ment purposes or to manage its interest rate risk. Futures contracts are</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">contracts for delayed delivery of securities at a specific future date and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">at a specific price or yield. Pursuant to the contract, the Fund agrees to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">receive from or pay to the broker an amount of cash equal to the daily</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">fluctuation in value of the contract. Such receipts or payments are</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">known as margin variation and are recognized by the Portfolio as unre-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">alized gains or losses. When the contract is closed, the Fund records a</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">realized gain or loss equal to the difference between the value of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">contract at the time it was opened and the value at the time it was</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">closed. The use of futures transactions involves the risk of an imperfect</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">correlation in the movements in the price of futures contracts, interest</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">rates and the underlying assets, and the possible inability of counter-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">parties to meet the terms of their contracts.</FONT><BR>
<BR>
<FONT color="#231f20" size=5 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">&#149;</FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Forward foreign currency exchange contracts &#151; A forward
foreign cur-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">rency exchange contract is an agreement between two parties to buy</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and sell a currency at a set exchange rate on a future date. Each Fund</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">may enter into forward foreign currency exchange contracts as a hedge</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">against either specific transactions or portfolio positions. Foreign cur-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">rency exchange contracts, when used by the Fund, help to manage the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">overall exposure to the foreign currency backing some of the invest-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ments held by the Fund. The contract is marked-to-market daily and the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">change in market value is recorded by the Fund as an unrealized gain</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">or loss. When the contract is closed, the Fund records a realized gain</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">or loss equal to the difference between the value at the time it was</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">opened and the value at the time it was closed. The use of forward for-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">eign currency contracts involves the risk that counterparties may not</FONT></P>
<P align="left">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">SEMI-ANNUAL REPORT FEBRUARY 28, 2009 51</FONT></P>

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<A name="page_53"></A>

<P align="left">
<FONT color="#005595" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Notes to Financial Statements (continued)</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">meet the terms of the agreement and market risk of unanticipated</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">movements in the value of a foreign currency relative to the US dollar.</FONT><BR>
<BR>
<FONT color="#231f20" size=5 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">&#149;</FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Options &#151; The Funds may purchase and write call and put
options. A</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">call option gives the purchaser of the option the right (but not the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">obligation) to buy, and obligates the seller to sell (when the option is</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">exercised), the underlying position at the exercise price at any time or</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">at a specified time during the option period. A put option gives the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">holder the right to sell and obligates the writer to buy the underlying</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">position at the exercise price at any time or at a specified time during</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the option period.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">When a Fund purchases (writes) an option, an amount equal to the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">premium paid (received) by the Fund is reflected as an asset and an</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">equivalent liability. The amount of the asset (liability) is subsequently</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">marked-to-market to reflect the current market value of the option</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">written. When a security is purchased or sold through an exercise of an</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">option, the related premium paid (or received) is added to (or deducted</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">from) the basis of the security acquired or deducted from (or added to)</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the proceeds of the security sold. When an option expires (or the Fund</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">enter into a closing transaction), the Fund realizes a gain or loss on the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">option to the extent of the premiums received or paid (or gain or loss</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to the extent the cost of the closing transaction exceeds the premium</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">received or paid). When a Fund writes a call option, such option is &#147;cov-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ered,&#148; meaning that the Fund holds the underlying security subject to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">being called by the option counterparty, or cash in an amount sufficient</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to cover the obligation. Certain call options are written as part of an</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">arrangement where the counterparty to the transaction borrows the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">underlying security from the Fund in a securities lending transaction.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">In purchasing and writing options, the Funds bear the market risk of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">an unfavorable change in the price of the underlying security or index.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Exercise of a written option could result in the Funds purchasing a</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">security at a price different from the current market value. A Fund</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">may execute transactions in both listed and over-the-counter options.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Transactions in certain over-the-counter options may expose the Fund</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to the risk of default by the counterparty to the transaction.</FONT><BR>
<BR>
<FONT color="#231f20" size=5 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">&#149;</FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Covered call options &#151; The Funds may sell covered call options
which</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">are options that give the purchaser the right to require the Fund to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">sell a security owned by the Fund to the purchaser at a specified price</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">within a limited time period. A Fund will receive a premium (an up front</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">payment) for selling a covered call option, and if the option expires</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">unexercised because the price of the underlying security has gone down</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the premium received by the Fund will partially offset any unrealized</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">losses on the underlying security. By writing a covered call option,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">however, a Fund limits its ability to sell the underlying security and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">gives up the opportunity to profit from any increase in the value of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">underlying security beyond the sale price specified in the option.</FONT><BR>
<BR>
<FONT color="#231f20" size=5 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">&#149;</FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Swaps &#151; The Funds may enter into swap agreements, in which the
Fund</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and a counterparty agree to make periodic net payments on a specified</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">notional amount. These periodic payments received or made by the</FONT></P>
<P align="left">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Funds are recorded in the accompanying Statements of Operations</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">as realized gains or losses, respectively. Swaps are marked-to-market</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">daily and changes in value are recorded as unrealized appreciation</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">depreciation). When the swap is terminated, the Funds will record a</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">realized gain or loss equal to the difference between the proceeds from</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(or cost of) the closing transaction and the Funds&#146; basis in the contract,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">if any. Swap transactions involve, to varying degrees, elements of credit</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and market risk in excess of the amounts recognized on the Statements</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">of Assets and Liabilities. Such risks involve the possibility that there will</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">be no liquid market for these agreements, that the counterparty to the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">agreements may default on its obligation to perform or disagree as to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the meaning of the contractual terms in the agreements, and that there</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">may be unfavorable changes in interest rates and/or market values</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">associated with these transactions.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Credit default swaps &#151; The Funds may enter into credit default swaps</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">for investment purposes or to manage their credit risk. Each Fund enters</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">into credit default agreements to provide a measure of protection</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">against the default of an issuer (as buyer of protection) and/or gain</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">credit exposure to an issuer to which it is not otherwise exposed (as</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">seller of protection). Credit default swaps are agreements in which one</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">party pays fixed periodic payments to a counterparty in consideration</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">for a guarantee from the counterparty to make a specific payment</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">should a negative credit event take place (e.g. bankruptcy, failure to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">pay, obligation accelerators, repudiation, moratorium or restructuring). A</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund may either buy or sell (write) credit default swaps. As a buyer, the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund will either receive from the seller an amount equal to the notional</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">amount of the swap and deliver the referenced security or underlying</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">securities comprising of an index or receive a net settlement of cash</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">equal to the notional amount of the swap less the recovery value of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the security or underlying securities comprising of an index. As a seller</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(writer), the Fund will either pay the buyer an amount equal to the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">notional amount of the swap and take delivery of the referenced security</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">or underlying securities comprising of an index or pay a net settlement</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">of cash equal to the notional amount of the swap less the recovery</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">value of the security or underlying securities comprising of an index. In</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the event of default by the counterparty, the Fund may recover amounts</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">paid under the agreement either partially or in total by offsetting any</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">payables and/or receivables with collateral held or pledged.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Interest rate swaps &#151; Certain Funds may enter into interest rate swaps</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">for investment purposes or to manage their interest rate risk. Interest</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">rate swaps are agreements in which one party pays a floating rate of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">interest on a notional principal amount and receives a fixed rate of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">interest on the same notional principal amount for a specified period of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">time. Alternatively, a party may pay a fixed rate and receive a floating</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">rate. In more complex swaps, the notional principal amount may decline</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(or amortize) over time.</FONT><BR>
<BR>
<FONT color="#231f20" size=5 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">&#149;</FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Swaptions &#151; Swap options (swaptions) are similar to options on
securi-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ties except that instead of selling or purchasing the right to buy or sell a</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">security, the writer or purchaser of the swap option is granting or buying</FONT></P>
<P align="left">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">52 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>

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<FONT color="#005595" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Notes to Financial Statements (continued)</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the right to enter into a previously agreed upon swap agreement at any</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">time before the expiration of the option.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Foreign Currency Transactions: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Foreign currency amounts are
translated</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">into United States dollars on the following basis: (i) market value of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">investment securities, assets and liabilities at the current rate of exchange;</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and (ii) purchases and sales of investment securities, income and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">expenses at the rates of exchange prevailing on the respective dates</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">of such transactions.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Funds report foreign currency related transactions as components of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">realized gains for financial reporting purposes, whereas such components</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">are treated as ordinary income for federal income tax purposes.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Asset-Backed and Mortgage-Backed Securities: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Funds may invest
in</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">asset-backed securities. Asset-backed securities are generally issued as</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">pass-through certificates, which represent undivided fractional ownership</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">interests in an underlying pool of assets, or as debt instruments, which are</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">also known as collateralized obligations, and are generally issued as the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">debt of a special purpose entity organized solely for the purpose of owning</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">such assets and issuing such debt. Asset-backed securities are often</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">backed by a pool of assets representing the obligations of a number of dif-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ferent parties. The yield characteristics of certain asset-backed securities</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">may differ from traditional debt securities. One such major difference is</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">that all or a principal part of the obligations may be prepaid at any time</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">because the underlying assets (i.e., loans) may be prepaid at any time. As</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">a result, a decrease in interest rates in the market may result in increases</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">in the level of prepayments as borrowers, particularly mortgagors, refinance</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and repay their loans. An increased prepayment rate with respect to an</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">asset-backed security subject to such a prepayment feature will have the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">effect of shortening the maturity of the security. If a Fund has purchased</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">such an asset-backed security at a premium, a faster than anticipated</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">prepayment rate could result in a loss of principal to the extent of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">premium paid.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Funds may purchase in the secondary market certain mortgage pass-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">through securities. There are a number of important differences among the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">agencies and instrumentalities of the US Government that issue mortgage</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">related securities and among the securities that they issue. For example,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">mortgage-related securities guaranteed by the Government National</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Mortgage Association (&#147;GNMA&#148;) are guaranteed as to the timely payment</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">of principal and interest by GNMA and such guarantee is backed by the full</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">faith and credit of the United States. However, mortgage-related securities</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">issued by the Federal National Mortgage Association (&#147;FNMA&#148;) include</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">FNMA guaranteed Mortgage Pass-Through Certificates, which are solely the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">obligations of the FNMA, are not backed by or entitled to the full faith and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">credit of the United States and are supported by the right of the issuer to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">borrow from the Treasury.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Certain Funds invest a significant portion of its assets in securities backed by</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">commercial or residential mortgage loans or in issuers that hold mortgage</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and other asset-backed securities. Please see the Schedules of Investments</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">for these securities. Changes in economic conditions, including delinquencies</FONT></P>
<P align="left">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and/or defaults on assets underlying these securities, can affect the value,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">income and/or liquidity of such positions.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Capital Trusts: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">These securities are typically issued by
corporations,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">generally in the form of interest-bearing notes with preferred securities</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">characteristics, or by an affiliated business trust of a corporation, generally</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">in the form of beneficial interests in subordinated debentures or similarly</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">structured securities. The securities can be structured as either fixed or</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">adjustable coupon securities that can have either a perpetual or stated</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">maturity date. Dividends can be deferred without creating an event of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">default or acceleration, although maturity cannot take place unless all</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">cumulative payment obligations have been met. The deferral of payments</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">does not affect the purchase or sale of these securities in the open market.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Payments on these securities are treated as interest rather than dividends</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">for federal income tax purposes. These securities can have a rating that is</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">slightly below that of the issuing company&#146;s senior debt securities.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Mortgage Dollar Roll Transactions: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Funds may sell
mortgage-backed</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">securities and simultaneously contract to repurchase substantially similar</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(same type, coupon and maturity) securities on a specific future date at</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">an agreed upon price. Pools of mortgage securities are used to collateral-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ize mortgage dollar roll transactions and may have different prepayment</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">histories than those sold. During the period between the sale and the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">repurchase, the Funds will not be entitled to receive interest and principal</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">payments on the securities sold. Proceeds of the sale will be invested in</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">additional instruments for the Funds, and the income from these invest-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ments will generate income for the Funds. The Funds will account for dollar</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">roll transactions as purchases and sales and realize gains and losses on</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">these transactions.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Mortgage dollar rolls involve the risk that the market value of the securities</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">that the Funds are required to purchase may decline below the agreed</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">upon repurchase price of those securities. If investment performance of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">securities purchased with proceeds from these transactions does not</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">exceed the income, capital appreciation and gain or loss that would have</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">been realized on the securities sold as part of the dollar roll, the use of this</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">technique will adversely impact the investment performance of the Funds.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Floating Rate Loans: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Funds may invest in floating rate loans, which
are</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">generally non-investment grade, made by banks, other financial institutions</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and privately and publicly offered corporations. Floating rate loans are</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">senior in the debt structure of a corporation. Floating rate loans generally</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">pay interest at rates that are periodically determined by reference to a</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">base lending rate plus a premium. The base lending rates are generally</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(i) the lending rate offered by one or more European banks, such as LIBOR</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(London InterBank Offered Rate), (ii) the prime rate offered by one or more</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">U.S. banks or (iii) the certificate of deposit rate. The Funds consider these</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">investments to be investments in debt securities for purposes of its</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">investment policies.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Fund earns and/or pays facility and other fees on floating rate loans.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Other fees earned/paid include commitment, amendment, consent, com-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">missions and prepayment penalty fees. Facility, amendment and consent</FONT></P>
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<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">SEMI-ANNUAL REPORT FEBRUARY 28, 2009 53</FONT></P>

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<P align="left">
<FONT color="#005595" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Notes to Financial Statements (continued)</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">fees are typically amortized as premium and/or accreted as discount over</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the term of the loan. Commitment, commission and various other fees are</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">recorded as income. Prepayment penalty fees are recorded on the accrual</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">basis. When the Fund buys a floating rate loan it may receive a facility fee</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and when it sells a floating rate loan it may pay a facility fee. On an ongoing</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">basis, the Fund may receive a commitment fee based on the undrawn por-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tion of the underlying line of credit portion of a floating rate loan. In certain</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">circumstances, the Fund may receive a prepayment penalty fee upon the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">prepayment of a floating rate loan by a borrower. Other fees received by the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund may include covenant waiver fees and covenant modification fees.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Fund may invest in multiple series or tranches of a loan. A different series</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">or tranche may have varying terms and carry different associated risks.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Floating rate loans are usually freely callable at the issuer&#146;s option. The</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund may invest in such loans in the form of participations in loans</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(&#147;Participations&#148;) and assignments of all or a portion of loans from third</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">parties. Participations typically will result in the Fund having a contractual</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">relationship only with the lender, not with the borrower. The Fund will have</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the right to receive payments of principal, interest and any fees to which</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">it is entitled only from the lender selling the Participation and only upon</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">receipt by the lender of the payments from the borrower.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">In connection with purchasing Participations, the Fund generally will have</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">no right to enforce compliance by the borrower with the terms of the loan</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">agreement relating to the loans, nor any rights of offset against the bor-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">rower, and the Fund may not benefit directly from any collateral supporting</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the loan in which it has purchased the Participation.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">As a result, the Fund will assume the credit risk of both the borrower and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the lender that is selling the Participation. The Fund&#146;s investments in loan</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">participation interests involve the risk of insolvency of the financial interme-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">diaries who are parties to the transactions. In the event of the insolvency of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the lender selling the Participation, the Fund may be treated as a general</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">creditor of the lender and may not benefit from any offset between the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">lender and the borrower.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Preferred Stock: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Certain Funds may invest in preferred stocks.
Preferred</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">stock has a preference over common stock in liquidation (and generally</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">in receiving dividends as well) but is subordinated to the liabilities of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">issuer in all respects. As a general rule, the market value of preferred stock</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">with a fixed dividend rate and no conversion element varies inversely with</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">interest rates and perceived credit risk, while the market price of convert-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ible preferred stock generally also reflects some element of conversion</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">value. Because preferred stock is junior to debt securities and other obliga-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tions of the issuer, deterioration in the credit quality of the issuer will cause</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">greater changes in the value of a preferred stock than in a more senior</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">debt security with similar stated yield characteristics. Unlike interest pay-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ments on debt securities, preferred stock dividends are payable only if</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">declared by the issuer&#146;s board of directors. Preferred stock also may be</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">subject to optional or mandatory redemption provisions.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Reverse Repurchase Agreements: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Funds may enter into reverse
repur-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">chase agreements with qualified third party broker-dealers. In a reverse</FONT></P>
<P align="left">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">repurchase agreement, the Funds sell securities to a bank or broker-dealer</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and agree to repurchase the securities at a mutually agreed upon date and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">price. Interest on the value of the reverse repurchase agreements issued</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and outstanding is based upon competitive market rates determined at the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">time of issuance. The Funds may utilize reverse repurchase agreements</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">when it is anticipated that the interest income to be earned from the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">investment of the proceeds of the transaction is greater than the interest</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">expense of the transaction. Reverse repurchase agreements involve lever-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">age risk and also the risk that the market value of the securities that the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Funds are obligated to repurchase under the agreement may decline below</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the repurchase price. In the event the buyer of securities under a reverse</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">repurchase agreement files for bankruptcy or becomes insolvent, the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Funds&#146; use of the proceeds of the agreement may be restricted pending</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">determination by the other party, or its trustee or receiver, whether to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">enforce the Funds&#146; obligation to repurchase the securities.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">TBA Commitments: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Funds may enter into to-be-announced
(&#147;TBA&#148;)</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">commitments to purchase or sell securities for a fixed price at a future</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">date. TBA commitments are considered securities in themselves, and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">involve a risk of loss if the value of the security to be purchased or sold</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">declines or increases prior to settlement date, which is in addition to the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">risk of decline in the value of the Funds&#146; other assets.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Treasury Roll Transactions: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">A treasury roll transaction involves the
sale of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">a Treasury security, with an agreement to repurchase the same security at</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">an agreed upon price and date. Treasury rolls constitute a borrowing (not</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">treated as purchase and sales) and the difference between the sale and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">repurchase prices represents interest expense at an agreed upon rate.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Whether such a transaction produces a positive impact on performance</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">depends upon whether the income and gains on the securities purchased</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">with the proceeds received from the sale of the security exceeds the inter-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">est expense incurred by the Fund. Treasury rolls are not considered pur-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">chases and sales and any gains or losses incurred on the treasury rolls</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">will be deferred until the treasury securities are disposed.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Treasury roll transactions involve the risk that the market value of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">securities that the Fund is required to purchase may decline below the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">agreed upon purchase price of those securities. If investment performance</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">of securities purchased with proceeds from these transactions does not</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">exceed the income, capital appreciation and gain or loss that would have</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">been realized on the securities sold as part of the dollar roll, the use of this</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">technique will adversely impact the investment performance of the Funds.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Segregation and Collateralization: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">In cases in which the 1940 Act and
the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">interpretive positions of the Securities and Exchange Commission (&#147;SEC&#148;)</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">require that each Fund segregates assets in connection with certain invest-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ments (e.g., dollar rolls, TBA&#146;s beyond normal settlement, options, swaps,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">forward foreign currency exchange contracts or financial futures contracts)</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">or certain borrowings (e.g., reverse repurchase agreements), each Fund will,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">consistent with certain interpretive letters issued by the SEC, designate on</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">its books and records cash or other liquid securities having a market value</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">at least equal to the amount that would otherwise be required to be physi-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">cally segregated. Furthermore, based on requirements and agreements with</FONT></P>
<P align="left">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">54 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>

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<P align="left">
<FONT color="#005595" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Notes to Financial Statements (continued)</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">certain exchanges and third party broker-dealers, each Fund may also be</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">required to deliver or deposit securities as collateral for certain investments</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(e.g., financial futures contracts, reverse repurchase agreements and swaps).</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Investment Transactions and Investment Income: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Certain Funds&#146;
invest-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ment transactions are recorded on the dates the transactions are entered</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">into (the trade dates). Realized gains and losses on security transactions</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">are determined on the identified cost basis. Dividend income is recorded</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">on the ex-dividend dates. Dividends from foreign securities where the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ex-dividend date may have passed are subsequently recorded when the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Funds have determined the ex-dividend date. Interest income is recog-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">nized on the accrual basis. The Funds amortize all premiums and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">discounts on debt securities.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Senior Floating Rate and Senior Floating Rate II record daily their propor-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tionate share of the Master LLC&#146;s income, expenses and realized and unre-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">alized gains and losses. In addition, both Funds accrue their own expenses.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Dividends and Distributions: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Dividends from net investment income
are</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">declared and paid monthly. Distributions of capital gains are recorded</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">on the ex-dividend dates.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Income Taxes: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">It is the Funds policy to comply with the requirements of
the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Internal Revenue Code applicable to regulated investment companies and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to distribute substantially all of their taxable income to their shareholders.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Therefore, no federal income tax provision is required. Under the applicable</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">foreign tax laws, a withholding tax may be imposed on interest, dividends</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and capital gains at various rates.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Each Fund files US federal and various state and local tax returns. No</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">income tax returns are currently under examination. The statute of limita-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tions on the Funds&#146; US federal tax returns remains open for the year ended</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">August 31, 2008 for Defined Opportunity, the four years ended August 31,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">2008 for Diversified Income, Floating Rate Income, Senior Floating Rate</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and Senior Floating Rate II, the three years ended October 31, 2007 and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the year ended August 31, 2008 for Limited Duration. The statutes of limi-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tations on the Funds&#146; state and local tax returns may remain open for an</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">additional year depending upon the jurisdiction.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Recent Accounting Pronouncement: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">In March 2008, Statement of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Financial Accounting Standards No. 161, &#147;Disclosures about Derivative</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Instruments and Hedging Activities &#151; an amendment of FASB Statement</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">No. 133&#148; (&#147;FAS 161&#148;), was issued. FAS 161 is intended to improve financial</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">reporting for derivative instruments by requiring enhanced disclosure that</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">enables investors to understand how and why an entity uses derivatives,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">how derivatives are accounted for, and how derivative instruments affect an</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">entity&#146;s results of operations and financial position. FAS 161 is effective for</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">financial statements issued for fiscal years and interim periods beginning</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">after November 15, 2008. The impact on each of the Portfolio&#146;s financial</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">statement disclosures, if any, is currently being assessed.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Bank Overdraft: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Diversified Income and Floating Rate Income
recorded</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">bank overdrafts which resulted from estimates of available cash.</FONT></P>
<P align="left">
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Deferred Compensation and BlackRock Closed-End Share Equivalent</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Investment Plan: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Under the deferred compensation plan approved by
each</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund&#146;s Board, non-interested Directors (&#147;Independent Directors&#148;) may defer</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">a portion of their annual complex-wide compensation. Deferred amounts</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">earn an approximate return as though equivalent dollar amounts have</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">been invested in common shares of other certain BlackRock Closed-End</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Funds selected by the Independent Directors. This has approximately the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">same economic effect for the Independent Directors as if the Independent</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Directors had invested the deferred amounts directly in other certain</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Closed-End Funds.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The deferred compensation plan is not funded and obligations thereunder</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">represent general unsecured claims against the general assets of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Funds. The Funds may, however, elect to invest in common shares of other</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">certain BlackRock Closed-End Funds selected by the Independent Directors</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">in order to match its deferred compensation obligations. Investments to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">cover certain Funds&#146; deferred compensation liability are included in other</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">assets on the Statements of Assets and Liabilities. Dividends and distribu-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tions from the BlackRock Closed-End Fund investments under the plan are</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">included in income &#151; affiliated on the Statements of Operations.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Other: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Expenses directly related to a Fund are charged to that Fund.
Other</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">operating expenses shared by several funds are pro-rated among those</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">funds on the basis of relative net assets or other appropriate methods.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-Demi,Arial,Helvetica,sans-serif">2. Investment Advisory Agreement and Other Transactions</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-Demi,Arial,Helvetica,sans-serif">with Affiliates:</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Certain Funds entered into an Investment Advisory Agreement with Advisor</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to provide investment advisory and administration services. The PNC</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Financial Services Group, Inc. (&#147;PNC&#148;) and Bank of America Corporation</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(&#147;BAC&#148;) are the largest stockholders of BlackRock, Inc. (&#147;BlackRock&#148;).</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BAC became a stockholder of BlackRock following its acquisition of Merrill</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Lynch &amp; Co., Inc. (&#147;Merrill Lynch&#148;) on January 1, 2009. Prior to that date,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">both PNC and Merrill Lynch were considered affiliates of the Fund under</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the 1940 Act. Subsequent to the acquisition, PNC remains an affiliate, but</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">due to the restructuring of Merrill Lynch&#146;s ownership interest of BlackRock,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BAC is not deemed to be an affiliate under the 1940 Act.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Advisor is responsible for the management of the Funds&#146; portfolio and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">provides the necessary personnel, facilities, equipment and certain other</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">services necessary to the operations of the Funds. For such services,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Defined Opportunity pays a monthly fee at an annual rate of 1.00%,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Limited Duration pays a monthly fee at an annual rate of 0.55% and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Diversified Income and Floating Rate Income each pay a monthly fee at an</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">annual rate of 0.75% of the average daily value of each Fund&#146;s net assets</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">plus the proceeds of any outstanding borrowings. Average daily net assets</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">is the average daily value of the Fund&#146;s total assets minus the sum of its</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">accrued liabilities.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Advisor, on behalf of Diversified Income, Floating Rate Income and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Limited Duration, has entered into a separate sub-advisory agreement with</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Financial Management, Inc. (&#147;BFM&#148;), an affiliate of the Advisor,</FONT></P>
<P align="left">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">SEMI-ANNUAL REPORT FEBRUARY 28, 2009 55</FONT></P>

<HR noshade align="center" width="100%" size=2>


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<A name="page_57"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>under which the Advisor pays BFM, for services it provides, a monthly fee</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that is an annual percentage of the investment advisory fee paid by the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds to the Advisor.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2009, the Funds reimbursed the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advisor for certain accounting services, which are included in accounting</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>services in the Statements of Operations. The reimbursements were</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Reimbursement</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>to Advisor</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Defined Opportunity</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 723</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Diversified Income</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,276</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Income</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,487</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Limited Duration</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$4,928</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the period September 1, 2008 through December 31, 2008 Merrill</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lynch, Pierce, Fenner &amp; Smith, Incorporated (&#147;MLPF&amp;S&#148;), a wholly owned</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>subsidiary of Merrill Lynch, received underwriting fees of $3,462,804 in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>connection with the issuance of the Defined Opportunity&#146;s Common</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares. In addition, Defined Opportunity reimbursed MLPF&amp;S $46,000</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as a partial reimbursement of expenses incurred in connection with the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>issuance of the Fund&#146;s Common Shares.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate and Senior Floating Rate II have entered into an</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Administration Agreement with the Administrator. The administration fee to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Administrator is calculated daily and paid monthly based on an annual</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate of 0.25% and 0.40%, respectively, of the average daily value of each</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s net assets for the performance of administrative services (other</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>than investment advice and related portfolio activities) necessary for the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>operation of the Funds.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate and Senior Floating Rate II entered into a separate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Distribution Agreement and Distribution Plan with BlackRock Investments,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC (&#147;BIL&#148;), which replaced FAM Distributors, Inc. (&#147;FAMD&#148;) and BlackRock</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Distributors, Inc. and its affiliates (&#147;BDI&#148;) (collectively, the &#147;Distributor&#148;) as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the sole distributor of the Funds. FAMD is a wholly owned subsidiary of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Merrill Lynch Group, Inc. BIL and BDI are affiliates of BlackRock, Inc.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2009, the Distributor received early</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>withdrawal charges for Senior Floating Rate and Senior Floating Rate II in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the amount of $136,691 and $27,255, respectively, relating to the tender</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of each Fund&#146;s shares.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PNC Global Investment Servicing (U.S.) Inc., an indirect, wholly owned sub-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sidiary of PNC and an affiliate of the Administrator, is Senior Floating Rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Senior Floating Rate II&#146;s transfer agent. Transfer agency fees borne by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each Fund are comprised of those fees charged for all shareholder com-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>munications including mailing of shareholder reports, dividend and distri-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>bution notices, and proxy materials for shareholders meetings, as well as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>per account and per transaction fees related to servicing and maintenance</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of shareholder accounts, including the issuing, redeeming and transferring</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of shares, check writing, anti-money laundering services, and customer</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>identification services.</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pursuant to the terms of the custody agreement, custodian fees may be</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reduced by amounts calculated on uninvested cash balances, which are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shown on the Statements of Operations as fees paid indirectly.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain officers and/or directors of the Funds are officers and/or directors</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of BlackRock, Inc. or its affiliates. The Funds reimburse the Advisor for com-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pensation to the Funds&#146; Chief Compliance Officer.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>3. Investments:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases and sales (including paydowns and TBA and mortgage dollar roll</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transactions and excluding short-term securities US Government securities)</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for the six months ended February 28, 2009 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="20%"></TD>
     <TD width="3%"></TD>
     <TD width="35%"></TD>
     <TD width="3%"></TD>
     <TD width="40%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 0px" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Purchases</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Sales</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Defined Opportunity</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,511,775</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,755,731</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Diversified Income</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,951,256</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>67,980,006</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Income</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,461,383</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>118,610,313</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 0px" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Limited Duration</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>892,518,966</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>956,093,504</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2009, purchases and sales of US</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>government securities for Limited Duration were $0 and $17,000,000,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respectively.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2009, purchases and sales for</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Limited Duration attributable to mortgage dollar rolls were $739,743,242</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and $738,788,047, respectively.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>4. Reverse Repurchase Agreements:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2009, Limited Duration&#146;s daily</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>weighted average interest rate was 0.43%.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>5. Market and Credit Risk:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In the normal course of business, the Funds invest in securities and enter</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>into transactions where risks exist due to fluctuations in the market (market</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risk) or failure of the issuer of a security to meet all its obligations (credit</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risk). The value of securities held by the Funds may decline in response to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>certain events, including those directly involving the issuers whose securi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ties are owned by the Funds; conditions affecting the general economy;</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>overall market changes; local, regional or global political, social or eco-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>nomic instability; and currency and interest rate and price fluctuations.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Similar to credit risk, the Funds may be exposed to counterparty risk, or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the risk that an entity with which the Funds have unsettled or open trans-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>actions may default. Financial assets, which potentially expose the Funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to credit and counterparty risks, consist principally of investments and cash</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>due from counterparties. The extent of the Funds&#146; exposure to credit and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparty risks with respect to these financial assets is approximated by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>their value recorded in the Funds&#146; Statements of Assets and Liabilities.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>6. Capital Share Transactions:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Defined Opportunity and Limited Duration are authorized to issue an unlim-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ited number of shares, par value $0.001, all of which were initially classi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fied as Common Shares. Diversified Income and Floating Rate Income are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>authorized to issue 200,000,000 shares, par value $0.10, all of which</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>56 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_58"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>were initially classified as Common Shares. The Board is authorized, how-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ever, to classify and reclassify any unissued shares without approval of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Shareholders.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Defined Opportunity&#146;s shares issued and outstanding during the period</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>January 31, 2008 (commencement of operations) to August 31, 2008</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>increased by 8,900,000 from shares sold.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Organization costs of $22,000 were expensed upon the commencement of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>operations. Offering costs incurred in connection with Defined Opportunity&#146;s</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>offering of Common Shares have been charged against the proceeds from</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the initial Common Share offering in the amount of $200,500.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares issued and outstanding for the six months ended February 28, 2009</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and the period ended August 31, 2008 (and the year ended October 31,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007 for Limited Duration) increased by the following amounts as a result</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of dividend reinvestments:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="32%"></TD>
     <TD width="31%"></TD>
     <TD width="19%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Period Ended</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Defined Opportunity</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>84,923</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,264</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Diversified Income</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,816</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,892</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Income</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,791</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Limited Duration</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>107,367</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>At February 28, 2009, the shares owned by an affiliate of the Advisor of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Funds were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="57%"></TD>
     <TD width="42%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Defined Opportunity</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,517</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Income</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,877</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Limited Duration</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,021</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transactions in capital shares, with respect to Senior Floating Rate and Senior Floating Rate II, were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="37%"></TD>
     <TD width="15%"></TD>
     <TD width="18%"></TD>
     <TD width="17%"></TD>
     <TD width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31, 2007</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior Floating Rate</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares sold</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,837,725</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11,319,841</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,490,899</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 36,601,922</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares issued to shareholders in reinvestment of dividends</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>113,657</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>699,508</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>182,375</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,499,356</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total issued</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,951,382</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,019,349</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,673,274</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,101,278</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares tendered</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,128,513)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(45,714,474)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(13,412,544)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(111,603,956)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net decrease</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,177,131)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(33,695,125)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,739,270)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (73,502,678)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior Floating Rate II</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares sold</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,881,424</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12,488,536</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,834,064</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 25,451,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares issued to shareholders in reinvestment of dividends</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and distributions</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,466</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240,166</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41,005</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>365,615</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total issued</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,917,890</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,728,702</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,875,069</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,817,215</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares tendered</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,462,356)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(30,809,007)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,873,162)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(71,267,903)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net decrease</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,544,466)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(18,080,305)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,998,093)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (45,450,688)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>7. Commitments:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds may invest in floating rate loans. In connection with these</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments, the Funds may also enter into unfunded corporate loans</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(&#147;commitments&#148;). Commitments may obligate the Funds to furnish tempo-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rary financing to a borrower until permanent financing can be arranged. In</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>connection with these commitments, the Funds earn a commitment fee,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>typically set as a percentage of the commitment amount. Such fee income,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which is classified in the Statements of Operations as facility and other</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fees, is recognized ratably over the commitment period. As of February 28,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2009 the Funds had the following unfunded loan commitments:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="43%"></TD>
     <TD width="17%" align=right></TD>
     <TD width="19%" align=right></TD>
     <TD width="8%" align=right></TD>
     <TD width="11%" align=right></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Defined Opportunity</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5 align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value of</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Underlying</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitment</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loans</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Borrower</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bausch &amp; Lomb, Inc</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit Stone</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>315</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>296</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="43%"></TD>
     <TD width="16%" align=right></TD>
     <TD width="19%" align=right></TD>
     <TD width="8%" align=right></TD>
     <TD width="11%" align=right></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Floating Rate Income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5 align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value of</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Underlying</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Underlying</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitment</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loans</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Borrower</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit Corp</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>420</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>395</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>8. Short-Term Borrowings:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>On May 16, 2008, Diversified Income and Floating Rate Income renewed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>their revolving credit and security agreement funded by a commercial paper</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>asset securitization program with Citicorp North America, Inc. (&#147;Citicorp&#148;) as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agent, certain secondary backstop lenders, and certain asset securitization</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>conduits as lenders (the &#147;Lenders&#148;). The agreement was renewed for one</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>year and at the time of renewal had a maximum limit of $91 million for</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Diversified Income and $155 million for Floating Rate Income.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 57</FONT></P>
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<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (concluded)</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Under the Citicorp program, the conduits will fund advances to the Funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>through the issuance of highly rated commercial paper. The Funds have</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>granted a security interest in substantially all of their assets to, and in favor</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of, the Lenders. The interest rate on the Funds&#146; borrowings is based on the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest rate carried by the commercial paper plus a program fee. In addi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion, each Fund pays a liquidity fee to the secondary backstop lenders and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the agent. These amounts are shown on the Statements of Operations as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrowing costs.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Under the agreement, the Funds are subject to certain conditions and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>covenants, which include among other things limitations on asset declines</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>over prescribed time periods. As a result of the decline in net assets attribut-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>able to market conditions, certain terms of the facility were renegotiated</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>effective December 5, 2008, which included a reduction of the maximum</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>limits to $50 million and $103 million for Diversified Income and Floating</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rate Income, respectively, waivers of certain financial covenants by the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lenders, and an increase in program and liquidity fees under the facility.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2009, the daily weighted average</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest rates were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Daily Weighted</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Average</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest Rate</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Diversified Income</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.96%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.71%</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Defined Opportunity is a party to a senior committed secured, 364-day</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>revolving line of credit and a separate security agreement (the &#147;Agreement&#148;)</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with State Street Bank and Trust Company (&#147;SSB&#148;) dated April 9, 2008. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Agreement has a maximum limit of $67.5 million. Defined Opportunity has</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>granted a security interest in substantially all of its assets to SSB. For the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>six months ended February 28, 2009, the weighted average annual interest</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate was 0.76%.</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>9. Capital Loss Carryforward:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>As of August 31, 2008, the Funds had capital loss carryforward available to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>offset future realized capital gains through the indicated expiration date:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="14%"></TD>
     <TD width="17%"></TD>
     <TD width="16%"></TD>
     <TD width="17%"></TD>
     <TD width="18%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expires</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Limited</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Duration</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate II</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2009</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 64,746,799</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,546,632</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2010</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87,904,309</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>864,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,409,203</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,719,049</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,221,818</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,383,383</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 691,829</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56,166,095</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,755,694</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>945,546</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,237,399</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,561,691</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2016</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,444,704</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475,453</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$21,933,927</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,419,599</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,923,144</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$5,437,797</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,167,282</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$21,933,927</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$331,375,060</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$31,436,583</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>10. Subsequent Events:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>On March 5, 2009, the Diversified Income and Floating Rate Income ter-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>minated their revolving credit agreement with Citicorp and entered into a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>senior committed secured, 364-day revolving line of credit and a separate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>security agreement (the &#147;Agreement&#148;) with State Street Bank and Trust</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Company (&#147;SSB&#148;). The Agreement has a maximum commitment of $50</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>million for Diversified Income and $103 million for Floating Rate Income.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds have a granted security interest in substantially all of their</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets to SSB.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds paid net investment income dividends on March 31, 2009 to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shareholders of record on March 16, 2009 in the following amounts:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="55%"></TD>
     <TD width="44%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividend</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Defined Opportunity</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.082500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Diversified Income</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.115000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Income</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.104835</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Limited Duration</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.090000</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Defined Opportunity renewed its revolving line of credit and security agree-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment with SSB effective April 8, 2009. The maximum commitment was</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reduced from $67.5 million to $55 million.</FONT></P>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Master Portfolio Summary </FONT><FONT color=#005595 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of February 28, 2009 (Unaudited) </FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>
<P align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="61%"></TD>
     <TD width="38%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Percent of</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Long-Term</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>95%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>58 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#005595 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>February 28, 2009 (Unaudited)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="9%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#151; 2.0%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawker Beechcraft Acquisition Co. LLC:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Facility Deposit, 3.459%, 3/26/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>392</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180,284</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.459% &#150; 5.762%, 3/26/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,682</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,070,229</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vought Aircraft Industries, Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolver, 2.47% &#150; 4.25%, 12/22/10</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,600,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.98%, 12/22/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>322,667</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Letter of Credit Deposit, 2.469%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/22/10</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>645,334</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,818,514</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc. Credit-Linked Deposit Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.32% &#150; 2.445%, 4/30/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,485</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,128,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Airways Group, Inc. Loan, 2.979%, 3/21/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,495</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>679,736</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,808,336</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 1.8%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allison Transmission, Inc. Term Loan, 3.20%, 8/07/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,089</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,696,661</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dana Holding Corp. Term Advance, 7.25%, 1/31/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,485</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>756,224</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goodyear Tire &amp; Rubber Co., The Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.23%, 4/30/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,390,714</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Metaldyne Co. LLC:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deposit Funded Tranche Loan, 2.319% &#150; 5.125%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/11/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>288</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,615</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B Term Loan, 7.875% &#150; 8%, 1/13/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,967</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>236,012</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,114,226</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Automobiles &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Co. Term Loan, 5%, 12/15/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>746</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>238,470</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Materials Corp. of America Term Loan Advance,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.625% &#150; 3.875%, 2/22/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,013</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,372,168</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Momentive Performance Materials (Blitz 06-103 GMBH):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 2.75%, 12/04/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,474</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,092,346</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 3.803%, 12/04/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>972</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>768,258</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,232,772</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Co., LLC Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.25% &#150; 7.75%, 12/15/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>949</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450,785</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nuveen Investments, Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.479% &#150; 4.466%, 11/13/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,233</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,995,593</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Riskmetrics Group Holdings, LLC Term B Loan (First Lien),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.459%, 1/10/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,453</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300,521</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,746,899</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 3.5%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brenntag Holding Gmbh &amp; Co. KG:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acquisition Facility 1, 2.47% &#150; 3.201%, 1/20/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,734</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B2, 2.47% &#150; 3.501%, 1/20/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,470</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,161,266</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Columbian Chemicals Acquisition LLC/Columbian</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chemicals Merger Sub, Inc. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.709%, 3/16/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,732</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>952,653</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Edwards (Cayman Islands II) Ltd. Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.479%, 5/31/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>739</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>443,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Huish Detergents Inc:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 4.67%, 10/26/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>506,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 2.17%, 4/26/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,985</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,680,538</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ISP Chemco LLC Term Loan, 2% &#150; 2.75%, 6/04/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,478</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,236,176</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PQ Corp. (fka Niagara Acquisition, Inc.):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 7.68%, 7/30/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,050,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 4.43% &#150; 4.71%, 7/31/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,985</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,783,538</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Polymer Group, Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.72% &#150; 3.72%, 11/22/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,786</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,321,893</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rockwood Specialties Group, Inc. Tranche E Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.979%, 7/30/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,853</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,627,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia Inc. Loan, 8.50%, 2/28/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,885</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,853,887</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,640,660</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="9%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 2.5%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alliance Laundry Systems LLC Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.35% &#150; 3.59%, 1/27/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,430</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,165,276</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ARAMARK Corp.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Facility Letter of Credit, 2.038%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/26/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>194,773</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.334%, 1/26/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,549</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,065,859</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>John Maneely Co.Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.604% &#150; 4.41%, 12/09/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,149</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>657,936</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kion Group GMBH (fka Neggio Holdings 3 GMBH):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B, 2.479%, 12/29/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C, 2.979%, 12/29/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SIRVA Worldwide, Inc. Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.17% &#150; 12%, 5/12/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>403</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,154</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synagro Technologies, Inc. Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.45%, 4/02/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,730</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,521,889</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>West Corp. Term B-2 Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.811% &#150; 2.854%, 10/24/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,903</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,857,552</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,653,439</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Computers &amp; Peripherals &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dealer Computer Services, Inc. (Reynolds &amp; Reynolds)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 2.479%, 10/26/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>743</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>482,968</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intergraph Corp. Second Lien Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.479% &#150; 7.256%, 11/28/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>825,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,307,968</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BakerCorp. Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.705% &#150; 2.729, 5/08/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>983</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>621,431</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brand Energy &amp; Infrastructure Services, Inc.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(FR Brand Acquisition Corp.) First Lien Term Loan B,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.688% &#150; 8.25%, 2/07/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,183</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>993,713</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,615,144</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Headwaters Inc. Term Loan B1 (First Lien),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.97%, 4/30/11</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,109</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,476,562</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 1.8%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graham Packaging Co., LP New Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.688% &#150; 4.813%, 10/07/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,751</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,464,760</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graphic Packaging International, Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Incremental Term Loan, 3.229% &#150; 7.50%, 5/16/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,595</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,211,417</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Loan, 2.479% &#150; 6.635%, 5/16/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>584</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486,014</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit-Stone Container Canada, Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C, 2.44% &#150; 4.25%, 11/01/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>339</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225,134</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-1 Term Loan, 2.94%, 11/01/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>421</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>279,906</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit-Stone Container Enterprises, Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deposit Funded Facility, 2.10%, 11/01/10</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,821</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,206,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B, 2.44% &#150; 4.25%, 11/01/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>118,996</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit-Stone Container Term Loan B, 0%, 2/03/10</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,160</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,152,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,145,415</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Distributors &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Keystone Automotive Operations, Inc. Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.947% &#150; 5.75%, 1/12/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,615</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>980,617</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Corp.Term Loan, 3.47% &#150; 4.26%, 11/14/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,970</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,580,451</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J.G. Wentworth, LLC Loan (First Lien), 3.709%, 4/04/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,800</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>612,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LPL Holdings, Inc. Tranche D Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.159% &#150; 2.229%, 6/28/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,236</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,810,998</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,422,998</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Media &#151; 1.8%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC Dollar Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.448% &#150; 4.803%, 8/09/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,099</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,138,633</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 59</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_61"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#151; 1.6%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BCM Ireland Holdings Ltd. (Eircom):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B, 3.428%, 8/14/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>985</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>833,921</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C, 3.678%, 8/14/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>985</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>833,828</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawaiian Telcom Communications, Inc. Tranche C</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.75%, 5/30/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,595</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>665,085</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PAETEC Holding Corp. Replacement Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.979%, 2/28/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,452</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,052,363</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Time Warner Telecom Holdings Inc. Term Loan B Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.48%, 1/07/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,960</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,732,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wind Finance SL S.A. Euro Facility (Second Lien),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.473%, 12/17/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,097,923</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,215,270</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Astoria Generating Co.Acquisitions, L.L.C. Second Lien</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 4.23%, 8/23/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,622,813</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electrical Equipment &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Generac Acquisition Corp. First Lien Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.919% &#150; 6.65%, 11/10/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,107</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,127,411</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment &amp; Instruments &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Flextronics International Ltd. A Closing Date Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.344% &#150; 3.685%, 10/01/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,515</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>992,182</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Flextronics International Ltd. Delay Draw Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.344%, 10/01/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>435</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>285,110</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>L-1 Identity Solutions Operating Co. Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75% &#150; 7.294%, 8/05/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,210</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,109,888</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safenet, Inc. Loan (Second Lien), 7.66%, 4/12/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>877,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,264,680</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#151; 1.7%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brock Holdings III, Inc. Term B Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.468% &#150; 4.25%, 2/26/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,474</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>869,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dresser, Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Loan, 2.729% &#150; 3.488%, 5/04/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,912</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,090,623</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (Second Lien), 6.988%, 5/04/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 3.46%, 4/02/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,239</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>768,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan, 3.46%, 4/03/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,216</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>753,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Volnay Acquisition Co. I (aka CGG) B1 Term Loan Facility,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.811% &#150; 5.428%, 1/12/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,407</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,213,347</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,595,390</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#151; 1.4%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AB Acquisitions UK Topco 2 Ltd. Facility B2 UK Borrower,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.161%, 7/09/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,021,199</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DS Waters of America, Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.455%, 10/29/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DSW Holdings, Inc. Loan, 2.705%, 3/02/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,390</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,014,804</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,311,003</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dole Food Co., Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit-Linked Deposit, 1.03%, 4/12/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>345</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>309,315</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 2.50%, 4/12/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>446</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>399,414</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solvest, Ltd. (Dole) Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.563% &#150; 6%, 4/12/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,660</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,488,096</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sturm Foods, Inc. Initial Term Loan First Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.75%, 1/31/14 (a)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,456</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,393,922</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,590,747</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="5%"></TD>
     <TD width="10%"></TD>
     <TD width="3%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#151; 2.1%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bausch &amp; Lomb Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 4.709%, 4/24/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>255,738</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Parent Term Loan, 4.709%, 4/24/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,979</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,687,868</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Biomet, Inc. Dollar Term Loan, 4.459%, 3/25/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,191</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,840,047</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC (ReAble Therapeutics Finance LLC)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.409% &#150; 4.459%, 5/20/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,970</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,470,051</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hologic, Inc. Tranche B Term Loan, 3.75%, 3/31/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>889</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>799,823</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,053,527</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 6.3%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.72% &#150; 3.404%, 7/25/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>464</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>392,903</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Term Loan, 1.018% &#150; 5.973%, 7/25/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,073</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,682,379</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A-1 Term Loan, 3.459%, 11/17/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,884</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,990,562</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 3.709%, 11/18/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,311</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,633,399</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Health Management Associates, Inc. Term B Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.209%, 2/28/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>380</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>303,257</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HealthSouth Corp. Term Loan, 2.93% &#150; 5.50%, 3/10/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,473</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,064,962</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Surgical Care Affiliates, LLC Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.459%, 12/29/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>990</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>593,970</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vanguard Health Holding Co. II, LLC (Vanguard</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Health System, Inc.) Replacement Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.729% &#150; 3.709%, 9/23/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,135</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,878,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,539,557</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunquest Information Systems, Inc. (Misys Hospital</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Systems, Inc.) Term Loan, 4.21%, 10/13/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,481</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,185,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#151; 3.9%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCM Merger Inc. (Motor City Casino) Term B Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.459% &#150; 4.193%, 7/13/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,772</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,001,192</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Green Valley Ranch Gaming, LLC:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 3.697%, 8/16/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (New), 2.449% &#150; 4%, 2/16/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>473</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>189,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrah&#146;s Operating Co., Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-1 Loan, 4.459%, 1/28/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>469</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>270,566</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-2 Loan, 4.159%, 1/28/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,182</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,922,803</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-3 Loan, 4.159%, 1/28/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>417</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240,503</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lake at Las Vegas Joint Venture/LLV-1, LLC (b)(c):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolving Loan Credit-Linked Deposit Account,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.75%, 6/20/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>361</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,852</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 11.75%, 6/20/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,376</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>157,530</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Penn National Gaming, Inc. Term Loan B,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.15% &#150; 4.41%, 10/03/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,920</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,431,326</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>QCE, LLC (Quiznos) Term Loan:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien) 3.75%, 11/05/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,950</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,075,287</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Second Lien) 9.512%, 11/05/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,800</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>938,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>VML US Finance LLC (aka Venetian Macau) Term B</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Project Loan, 2.73%, 5/27/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,624</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>934,779</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,266,038</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#151; 2.0%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Achievement Corp. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.71% &#150; 4.50%, 3/25/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>910</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>745,935</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jarden Corp. Term Loan B3, 3.959%, 1/24/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,485</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,340,518</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Simmons Bedding Co.Tranche D Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50% &#150; 9.535%, 12/19/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,269</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,261,649</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Visant Corp. (fka Jostens) Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.413%, 12/21/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,819</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,568,858</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yankee Candle Co., Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.42% &#150; 2.48%, 2/06/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,833</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,111,834</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,028,794</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>60 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_62"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="65%"></TD>
     <TD width="5%"></TD>
     <TD width="10%"></TD>
     <TD width="3%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#151; 4.7%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Activant Solutions Inc. Term Loan, 3.438%, 5/02/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,392</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,594,396</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Audio Visual Services Group, Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 6.96%, 8/28/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>105,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan (First Lien), 3.71%, 2/28/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,975</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>553,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ceridian Corp U.S. Term Loan, 3.47%, 11/09/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,250</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,242,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp. Initial Tranche:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B-1 Term Loan, 3.159% &#150; 3.223%, 9/24/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,831</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,857,979</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B-2 Term Loan, 3.139% &#150; 3.223%, 9/24/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,689</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,361,104</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B-3 Term Loan, 3.159% &#150; 3.223%, 9/24/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>995</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>650,042</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RedPrairie Corp. Term Loan, 5.875%, 7/20/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>294</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185,220</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SunGard Data Systems Inc (Solar Capital Corp.) New US</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.198% &#150; 2.991%, 2/28/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,834</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,880,722</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,429,963</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 4.2%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.909% &#150; 5.262%, 2/01/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,212</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,868,086</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Texas Competitive Electric Holdings Co., LLC (TXU):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.909% &#150; 4.451%, 10/10/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,866</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,155,214</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.909 &#150; 4.451%%, 10/10/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,344</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,451,922</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,475,222</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp. Term Loan, 3.67% &#150; 3.70%, 12/03/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,385</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,454,929</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alliant Holdings I, Inc. Term Loan, 4.459%, 8/21/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,973</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,479,389</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Internet Software &amp; Services &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Channel Master Holdings, Inc. (b)(c):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolver, 8.313%, 11/15/04</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>128</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 9%, 11/15/04</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,014</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Leisure Equipment &amp; Products &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fender Musical Instruments Corp.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Loan, 2.66%, 6/09/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>664</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>298,998</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Loan, 3.71%, 6/09/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,316</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>591,987</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>True Temper Sports, Inc. Term Loan B,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.606% &#150; 6.061%, 3/15/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,063</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>665,998</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,556,983</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Life Sciences Tools &amp; Services &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Life Technologies Corp. Term B Facility,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 11/20/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,416</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,343,838</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 2.6%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mueller Water Products Inc. Term Loan B,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.209% &#150; 5.512%, 5/24/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,669</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,167,348</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navistar International Corp.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolving Credit-Linked Deposit,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.729% &#150; 5.739%, 1/19/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,145,333</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Advance, 3.729%, 1/19/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,400</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,149,665</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Oshkosh Truck Corp.Term B Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.95% &#150; 4.57%, 12/06/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,641</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,848,808</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TriMas Co. LLC:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 2.729% &#150; 3.201%, 8/02/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,360</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,486,639</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Loan, 2.463%, 3/27/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>557</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350,967</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,148,760</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="62%"></TD>
     <TD width="8%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 19.3%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alpha Topco Ltd. (Formula One):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B2, 2.854%, 12/31/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>857</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>431,493</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility D, 2.854%, 6/30/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>589</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>296,652</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility D, 5.311%, 6/30/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bragg Communications Inc. Term Loan B Tranche Two</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility, 4.525%, 8/31/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,213</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,121,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bresnan Communications, LLC Term Loan B (First Lien),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.18% &#150; 4.20%, 9/29/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,491,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CSC Holdings Inc. (Cablevision) Incremental Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.205% &#150; 2.692%, 3/29/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,449</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,130,236</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Catalina Marketing Corp. Initial Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.459%, 10/01/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,956</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,135,311</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc. (Thomson Learning):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.98%, 7/03/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,212</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>786,257</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche 1 Incremental Term Loan, 7.50%, 7/03/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,971</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,579,410</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cequel Communications, LLC (aka Cebridge):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Tranche A Term Loan (Cash Pay), 7.693%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/05/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,062,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.453% &#150; 4.25%, 11/05/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,902</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,974,482</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Charter Communications Operating, LLC Replacement</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.18% &#150; 3.36%, 3/06/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,472</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,550,007</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clarke American Corp. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.909% &#150; 2.959%, 6/30/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,301</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,944,062</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cumulus Media, Inc. Replacement Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.197%, 6/11/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>941</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>378,568</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dex Media West LLC Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7%, 10/24/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,440,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Discovery Communications Holding, LLC Term B Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.459%, 5/14/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,439</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,210,659</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FoxCo Acquisition Subsidiary, LLC Term Loan, 7.25%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/14/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,491</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>765,187</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Getty Images, Inc., Initial Term Loan, 7.25%, 7/02/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,491</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,418,579</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gray Television, Inc. Term Loan B &#150; DD,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.95% &#150; 3.50%, 12/31/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,326</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>665,841</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Publishing Co. Ltd. (fka Education Media):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mezzanine, 4.409% &#150; 10.756%, 11/14/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,527</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,558,221</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 4.409%, 6/12/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,383</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,465,412</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hanley-Wood, LLC (FSC Acquisition) Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.814%, 3/08/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,233</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>811,337</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hargray Acquisition Co./DPC Acquisition LLC/HCP</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acquisition LLC, Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.486%, 6/27/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,963</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,550,962</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Idearc Inc. (Verizon) Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.48% &#150; 3.46%, 11/17/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,340</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>467,217</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Insight Midwest Holdings, LLC B Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.42%, 4/07/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,075</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,704,718</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Corp. (fka PanAmSat Corp.):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-2-A, 3.925%, 1/03/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,254</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,070,772</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-2-B, 3.925%, 1/03/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,253</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,070,306</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-2-C, 3.925%, 1/03/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,253</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,070,306</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-B Term Loan, 3.925%, 1/03/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,972</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,735,578</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Knology, Inc. Term Loan, 2.663%, 6/30/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,426</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,941,051</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Local TV Finance, LLC Term Loan, 2.48%, 5/07/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,241</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>521,033</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lodgenet Entertainment Corp. Closing Date Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.46%, 4/04/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,883</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,042,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MCC Iowa LLC (Mediacom Broadband Group) Tranche A</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 1.87%, 3/31/10</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,219</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,052,344</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MCNA Cable Holdings LLC (OneLink Communications)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (PIK facility), 9.62%, 3/01/13 (a)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,179</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>731,214</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Metro-Goldwyn-Mayer Inc. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.659% &#150; 3.729%, 4/09/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,995</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,332,919</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 61</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

<!--$$/page=-->
<A name="page_63"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="3%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media (concluded)</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Multicultural Radio Broadcasting, Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.195%, 12/18/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>533</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>373,447</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NEP II, Inc. Term B Loan, 2.729%, 2/18/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>378</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>306,270</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NTL Cable Plc Term Loan, 5.892%, 11/19/37</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>199</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>228,570</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NV Broadcasting, LLC Second Lien,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.72%, 11/03/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,250</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>650,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>National CineMedia, LLC Term Loan, 3.75%, 2/13/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,250</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,021,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Newsday, LLC Floating Rate Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.594%, 8/01/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,193,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NextMedia Operating, Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delay Draw Term Loan, 5.123%, 11/15/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>122</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>57,235</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan (First Lien), 5.174%, 11/15/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,403</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>659,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 8.44% &#150; 9.47%, 11/15/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,275</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>802,348</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC Dollar Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.803%, 8/09/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>483</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>378,962</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Penton Media, Inc. Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.799%, 2/01/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Penton Media, Inc. Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.659%, 2/01/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>491</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>182,991</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sitel, LLC (ClientLogic) U.S. Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.947% &#150; 6.911%, 1/30/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>911</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503,899</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunshine Acquisition Ltd. (aka HIT Entertainment)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 3.49% &#150; 4.71%, 7/31/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,243</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,015,511</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TWCC Holding Corp. Term Loan, 7.25%, 9/14/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>998</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>951,615</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Financing Partnership:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility N, 2.163%, 12/31/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>423,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>M Facility, 3.76%, 12/31/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,800</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,594,505</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Investment Holdings Ltd. (fka NTL):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B1 Facility, 5.04%, 7/30/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>823</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>945,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B1 Facility, 5.802%, 7/30/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,141</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,310,766</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>C Facility, 5.892%, 7/17/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>131</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75,594,804</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Algoma Steel Inc. Term Loan, 2.92%, 6/20/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 2,446</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,443,254</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Transfer Equity, LP Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.991%, 11/01/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>652,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FirstLight Power Resources, Inc. (fka NE Energy, Inc.):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Lien Term Loan B, 4.125% &#150; 5.75%, 11/01/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,774</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,481,571</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 1.35%, 11/01/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>226</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>188,429</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>KGEN LLC:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit Loan (First Lien), 1.34%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/08/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 3.25%, 2/08/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,225</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>857,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mach Gen, LLC Synthetic Letter of Credit Loan (First Lien),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.218%, 2/22/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,739</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USPF Holdings, LLC Term Loan, 2.205%, 4/11/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>923</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>784,632</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,541,371</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp. Tranche B-1 Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.079% &#150; 6.17%, 7/07/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,726,818</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#151; 3.0%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Big West Oil, LLC:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Advance Loan, 4.50%, 5/15/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>963</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>471,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Advance Loan, 4.50%, 5/15/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>766</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375,156</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="2%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels (concluded)</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Enterprise GP Holdings LP Term Loan B,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.699% &#150; 3.648%, 11/08/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,733</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,576,575</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Petroleum GEO-Services ASA/PGS Finance, Inc.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.21%, 6/29/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,910</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,372,196</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ScorpionDrilling Ltd. Second Lien, 8.966%, 5/08/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,635,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vulcan Energy Corp. (fka Plains Resources Inc.) Term B3</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 6.25%, 8/12/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,513,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Western Refining, Inc. Term Loan, 9.25%, 5/30/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,128</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700,389</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,644,691</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RedPrairie Corp. Term Loan, 5.25% &#150; 6.313%, 7/20/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>489</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>307,895</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 2.7%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgia-Pacific LLC Term B Loan:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.994% &#150; 3.689%, 12/20/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,493</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,467,619</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.994% &#150; 2.956%, 12/20/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,767</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,525,049</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NewPage Corp. Term Loan, 7%, 12/22/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,960</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,412,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,404,668</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Personal Products &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Safety Razor Co., LLC Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.73%, 1/30/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,650</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,696,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Booz Allen Hamilton Inc. Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 7/31/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,995</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,878,293</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Automotive LP Term Loan, 2.217%, 12/16/10</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,128</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>992,894</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mattamy Funding Partnership Loan, 3.563%, 4/11/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,918</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,042,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,035,144</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Road &amp; Rail &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RailAmerica, Inc. Canadian Term Loan, 5.44%, 8/14/09</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>156</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>140,787</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RailAmerica, Inc. U.S. Term Loan, 5.44%, 8/14/09</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,093</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,884,213</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,025,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Adesa, Inc. (KAR Holdings, Inc.) Initial Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.73% &#150; 3.709%, 10/20/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>957</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>643,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Nutrition Centers, Inc. Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.69% &#150; 3.72%, 9/16/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,741</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,266,679</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,910,604</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hanesbrands Inc. Term B Loan (First Lien),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.909% &#150; 4%, 9/05/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,045</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>979,021</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trading Companies &amp; Distributors &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beacon Sales Acquisition, Inc. Term B Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.479% &#150; 3.435%, 9/30/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>978</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>692,396</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 1.7%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cellular South, Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 1.988%, 5/29/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 1.979% &#150; 3.75%, 5/29/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,478</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,329,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc. (aka Leap Wireless)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Loan, 6.50%, 6/16/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,283</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,038,978</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetroPCS Wireless, Inc. New Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.75%, 11/03/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,237</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,939,823</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,758,551</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Floating Rate Loan Interests &#151; 85.5%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>334,248,928</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>62 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_64"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B><BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="17%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 2.1%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GEO Specialty Chemicals Corp.,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 3/31/15 (d)(e)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 2,445</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,831,006</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GEO Specialty Chemicals, Inc., 9.935%, 12/31/09 (d)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,929</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,941,839</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc. (d):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Subordinate Note, 10%, 1/29/19</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Third Lien Subordinate Note, 5%, 1/29/19</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,206</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,544,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,317,045</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Credit Co. LLC, 5.544%, 4/15/09 (f)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>693,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Corp., 5.246%, 6/15/13 (f)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,525</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,139,937</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Galaxy Entertainment Finance Co. Ltd.,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.323%, 12/15/10 (e)(f)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,300</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,475,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Universal City Florida Holding Co. I, 5.92%, 5/01/10 (f)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,499,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd., 11%, 7/29/15 (e)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,821</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,272,980</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NewPage Corp., 7.42%, 5/01/12 (f)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>650</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>156,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Holdings LLC Series B, 4.92%, 8/01/14 (f)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,400</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,964,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,392,980</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#151; 4.6%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,042,712</FONT>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common Stocks</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GEO Specialty Chemicals, Inc. (c)(e)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,151</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,030</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc. (c)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,206</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,302</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,332</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sirva Technologies Holding Co.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,817</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,085</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>335,138</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>189,671</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd. (c)(e)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>376,109</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>213,420</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>403,091</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Common Stocks &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>428,508</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151;$532,500,843) &#151; 90.2%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>352,720,148</FONT>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beneficial</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Short-Term Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Series, LLC</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash Sweep Series, 0.73% (g)(h)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 32,079</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,079,462</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $32,079,462) &#151; 8.2%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,079,462</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments (Cost &#151; $564,580,305*) &#151; 98.4%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>384,799,610</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Assets Less Liabilities &#151; 1.6%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,299,276</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets &#151; 100.0%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$391,098,886</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The cost and unrealized appreciation (depreciation) of investments as of February</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28, 2009, as computed for federal income tax purposes, were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="57%"></TD>
     <TD width="42%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 563,928,649</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,060,734</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(180,189,773)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(179,129,039)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a) Represents a payment-in-kind security which may pay interest/dividends in</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional par/shares.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Issuer filed for bankruptcy and/or is in default of interest payments.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) Non-income producing security.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Convertible security.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Variable rate security. Rate shown is as of report date.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Investments in companies considered to be an affiliate of the Master LLC, for pur-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>poses of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="46%"></TD>
     <TD width="33%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Affiliate</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Series, LLC</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash Sweep Series</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 3,013,425</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>187,306</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) Represents the current yield as of report date.</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Master LLC compliance purposes, the Master LLC&#146;s industry classifications refer</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to any one or more of the industry sub-classifications used by one or more widely</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recognized market indexes or ratings group indexes, and/or as defined by Master</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC management. This definition may not apply for purposes of this report, which</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may combine industry sub-classifications for reporting ease.</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of February 28, 2009 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="6%"></TD>
     <TD width="14%"></TD>
     <TD width="7%"></TD>
     <TD width="15%"></TD>
     <TD width="22%"></TD>
     <TD width="13%"></TD>
     <TD width="3%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=3 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Settlement&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Appreciation</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Purchased</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency Sold</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Depreciation)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=8>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>504,352</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>620,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,036</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,810,788</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,669,500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>159,531</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>464,768</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>370,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,224)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,242,588</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,210,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/18/09</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>216,085</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>388,428</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on traded indexes &#151; sold protection outstanding as of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2009 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="15%"></TD>
     <TD width="13%"></TD>
     <TD width="12%"></TD>
     <TD width="14%"></TD>
     <TD width="11%"></TD>
     <TD width="16%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Received</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counter-</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>party</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rating</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LCDX Index</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.25%</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B&#150;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 1,893</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (66,756)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chase</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2013</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using Standard and Poor&#146;s weighted average ratings of the underlying securities</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in the Index.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The maximum potential amount the Fund may pay should a negative credit</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>event take place as defined under the terms of the agreement.</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="37%"></TD>
     <TD width="62%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=right><FONT style="FONT-SIZE: 11pt" color=#231f20 face="Franklin Gothic Book"><SUB>&#149;</SUB></FONT><FONT style="FONT-SIZE: 11pt" color=#231f20 face="Franklin Gothic Book"><SUB>Currency </SUB></FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><FONT style="FONT-SIZE: 11pt" face="Franklin Gothic Book"><SUB>Abbreviations</SUB></FONT>:</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canadian Dollar</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>British Pound</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Dollar</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 63</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<A name="page_65"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>
<P align=left><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Effective September 1, 2008, the Master LLC adopted Financial Accounting</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Standards Board Statement of Financial Accounting Standards No. 157, &#147;Fair Value</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Measurements&#148; (&#147;FAS 157&#148;). FAS 157 clarifies the definition of fair value, estab-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lishes a framework for measuring fair values and requires additional disclosures</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>about the use of fair value measurements. Various inputs are used in determining</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the fair value of investments, which are as follows:</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#151; price quotations in active markets/exchanges for identical securities</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2 &#151; other observable inputs (including, but not limited to: quoted prices</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for similar assets or liabilities in markets that are not active, inputs other than</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quoted prices that are observable for the assets or liabilities (such as interest</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and default rates) or other market-corroborated inputs)</FONT><BR>
<FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#149;</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 &#151; unobservable inputs based on the best information available in the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstance, to the extent observable inputs are not available (including the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC&#146;s own assumption used in determining the fair value of investments)</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodology used for valuing securities are not necessarily an indica-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion of the risk associated with investing in those securities. For information about</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC&#146;s policy regarding valuation of investments and other significant</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accounting policies, please refer to Note 1 of the Notes to Financial Statements.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table summarizes the inputs used as of February 28, 2009 in deter-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mining the fair valuation of the Master LLC&#146;s investments:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="25%"></TD>
     <TD width="14%"></TD>
     <TD width="19%"></TD>
     <TD width="4%"></TD>
     <TD width="16%"></TD>
     <TD width="4%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=3 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Financial</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Inputs</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=3 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Instruments*</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 189,671</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>265,071,284</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>392,652</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(70,980)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>119,538,655</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$384,799,610</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>392,652</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(70,980)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* Other financial instruments are foreign currency exchange contracts and swaps,</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which are valued at the unrealized appreciation/depreciation on the instrument.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following is a reconciliation of investments for unobservable inputs (Level 3)</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that were used in determining fair value:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="68%"></TD>
     <TD width="13%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Securities</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance as of August 31, 2008</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>43,445,695</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>472,149</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized loss</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10,368,113)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(76,313,399)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net sales</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(26,377,340)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net transfers in Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>188,679,663</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance as of February 28, 2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>119,538,655</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Included in the related net change in unrealized appreciation/depreciation on</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Statement of Operations.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>64 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="58%"></TD>
     <TD width="32%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statement of Assets and Liabilities</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=right><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2009 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value &#151; unaffiliated (cost &#151; $532,500,843)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>352,720,148</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value &#151; affiliated (cost &#151; $32,079,462)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,079,462</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on forward foreign currency contracts</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>392,652</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency at value (cost &#151; $111,932)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>112,111</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>342,298</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash held as collateral on swaps</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments sold receivable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,203,455</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest receivable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,802,665</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Contributions receivable from investors</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,127,595</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Principal paydown receivable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,404</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps receivable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,212</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitment fees receivable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,128</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Prepaid expenses</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,867</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other assets</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,227</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total assets</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>396,447,226</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swap premiums received</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575,107</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on swaps</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>66,756</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on unfunded corporate loans</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,639</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on forward foreign currency contracts</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,224</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments purchased payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,199,701</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment advisory fees payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>292,355</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deferred income</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,088</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer&#146;s and Directors&#146; fees payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>633</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other affiliates payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,105</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other accrued expenses payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>162,677</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other liabilities payable</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total liabilities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,348,340</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>391,098,886</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets Consist of</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investors&#146; capital</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>570,585,073</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(179,486,187)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>391,098,886</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 65</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>

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<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="54%"></TD>
     <TD width="45%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statement of Operations</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended February 28, 2009 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Income</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18,187,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income &#151; affiliated</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>187,306</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility and other fees</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>238,162</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,612,618</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment advisory</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,061,538</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accounting services</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>84,887</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Custodian</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30,041</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer and Directors</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,461</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Professional</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,395</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Printing</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,216</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assignment</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,114</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Miscellaneous</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,524</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,259,176</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,353,442</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Realized and Unrealized Gain (Loss)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss) from:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(27,969,203)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>166,902</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,986,212</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(24,816,089)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation on:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(119,400,610)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(125,171)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(525,069)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded corporate loans</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>345,639</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(119,705,211)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total realized and unrealized loss</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(144,521,300)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Decrease in Net Assets Resulting from Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (128,167,858)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>66 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
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     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Changes in Net Assets</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=3 noWrap align=right><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Increase (Decrease) in Net Assets:</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,353,442</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 40,966,288</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized loss</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(24,816,089)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,219,849)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(119,705,211)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(27,182,080)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net decrease in net assets resulting from operations</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(128,167,858)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,435,641)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Transactions</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Proceeds from contributions</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,808,377</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,053,522</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fair value of withdrawals</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(93,289,652)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(224,197,628)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net decrease in net assets derived from capital transactions</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(69,481,275)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(162,144,106)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total decrease in net assets</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(197,649,133)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(169,579,747)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beginning of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>588,748,019</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>758,327,766</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>391,098,886</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 588,748,019</FONT>&nbsp;</TD></TR></TABLE><BR>
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<TR>
     <TD width="35%"></TD>
     <TD width="19%" align=right></TD>
     <TD width="6%" align=right></TD>
     <TD width="2%" align=right></TD>
     <TD width="6%" align=right></TD>
     <TD width="2%" align=right></TD>
     <TD width="6%" align=right></TD>
     <TD width="8%" align=right></TD>
     <TD width="11%" align=right></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=3 noWrap align=right><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD bgColor=#f1f1f2 colSpan=9 align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=4 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended August 31,</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2006</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2005</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right>&nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2004</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment return</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(22.44)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.08)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.49%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.37%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.78%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.15%</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9 align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses excluding interest expense</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.02%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.03%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.01%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.02%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.01%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.02%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.54%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.41%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.07%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.22%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.52%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.81%</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9 align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets, end of period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 391,099 $</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>588,748</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>758,328</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>925,910</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,032,819</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,052,881</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>76%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average loan outstanding during the period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,255</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,932</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 67</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>


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<A name="page_69"></A>

<P align="left">
<FONT color="#005595" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Notes to Financial Statements </FONT><FONT color="#005595" size=2 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">(Unaudited)</FONT></P>
<P align="left">
<B><FONT color="#005595" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Master Senior Floating Rate LLC</FONT></B></P>
<P align="left">
<FONT color="#231f20" size=2 face="FranklinGothic-Demi,Arial,Helvetica,sans-serif">1. Organization and Significant Accounting Policies:</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Master Senior Floating Rate LLC (the &#147;Master LLC&#148;) is registered under the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Investment Company Act of 1940, as amended (the &#147;1940 Act&#148;), and is</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">organized as a Delaware limited liability company. The Limited Liability</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Company Agreement permits the Board of Directors (the &#147;Board&#148;) to issue</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">nontransferable interests in the Master LLC, subject to certain limitations.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Master LLC&#146;s financial statements are prepared in conformity with</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">accounting principles generally accepted in the United States of America,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">which may require the use of management accruals and estimates. Actual</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">results may differ from these estimates.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The following is a summary of significant accounting policies followed by</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the Master LLC:</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Valuation of Investments: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Master LLC values most of its bond
invest-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ments on the basis of last available bid price or current market quotations</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">provided by dealers or pricing services selected under the supervision of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the Board. Floating rate loan interests are valued at the mean between the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">last available bid prices from one or more brokers or dealers as obtained</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">from pricing services. In determining the value of a particular investment,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">pricing services may use certain information with respect to transactions in</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">such investments, quotations from dealers, pricing matrixes, market trans-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">actions in comparable investments, various relationships observed in the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">market between investments, and calculated yield measures based on val-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">uation technology commonly employed in the market for such investments.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Swap agreements are valued by quoted fair values received daily by the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Master LLC&#146;s pricing service or through brokers. Short-term securities with</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">maturities less than 60 days are valued at amortized cost, which approxi-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">mates market value.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Equity investments traded on a recognized securities exchange or the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">NASDAQ Global Market System are valued at the last reported sale price</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">that day or the NASDAQ official closing price, if applicable. For equity</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">investments traded on more than one exchange, the last reported sale</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">price on the exchange where the stock is primarily traded is used. Equity</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">investments traded on a recognized exchange for which there were no sales</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">on that day are valued at the last available bid price. If no bid price is</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">available, the prior day&#146;s price will be used, unless it is determined that</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">such prior day&#146;s price no longer reflects the fair value of the security.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">In the event that application of these methods of valuation results in a</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">price for an investment which is deemed not to be representative of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">market value of such investment, the investment will be valued by, under</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the direction of, or in accordance with, a method approved by the Board</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">as reflecting fair value (&#147;Fair Value Assets&#148;). When determining the price</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">for Fair Value Assets, the Advisor and/or sub-advisor seeks to determine</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the price that the Master LLC might reasonably expect to receive from</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the current sale of that asset in an arm&#146;s-length transaction. Fair value</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">determinations shall be based upon all available factors that the Advisor</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">subsequently reported to the Board or a committee thereof.</FONT></P>
<P align="left">
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Derivative Financial Instruments: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Master LLC may engage in
various</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">portfolio investment strategies both to increase the return of the Master</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">LLC and to hedge, or protect, its exposure to interest rate movements and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">movements in the securities markets. Losses may arise if the value of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">contract decreases due to an unfavorable change in the price of the under-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">lying security, or if the counterparty does not perform under the contract.</FONT><BR>
<BR>
<FONT color="#231f20" size=5 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">&#149;</FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Credit default swaps &#151; The Master LLC may enter into credit
default</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">swaps for investment purposes or to manage their credit risk. The</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Master LLC enters into credit default agreements to provide a measure</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">of protection against the default of an issuer (as buyer of protection)</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and/or gain credit exposure to an issuer to which it is not otherwise</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">exposed (as seller of protection). Credit default swaps are agreements</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">in which one party pays fixed periodic payments to a counterparty in</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">consideration for a guarantee from the counterparty to make a specific</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">payment should a negative credit event take place (e.g. bankruptcy,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">failure to pay, obligation accelerators, repudiation, moratorium or</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">restructuring). The Master LLC may either buy or sell (write) credit</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">default swaps. As a buyer, the Master LLC will either receive from the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">seller an amount equal to the notional amount of the swap and deliver</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the referenced security or underlying securities comprising of an index</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">or receive a net settlement of cash equal to the notional amount of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">swap less the recovery value of the security or underlying securities</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">comprising of an index. As a seller (writer), the Master LLC will either</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">pay the buyer an amount equal to the notional amount of the swap</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and take delivery of the referenced security or underlying securities</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">comprising of an index or pay a net settlement of cash equal to the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">notional amount of the swap less the recovery value of the security or</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">underlying securities comprising of an index. In the event of default by</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the counterparty, the Master LLC may recover amounts paid under the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">agreement either partially or in total by offsetting any payables and/or</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">receivables with collateral held or pledged.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Master LLC may utilize credit default swaps for the purpose of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">reducing the interest rate sensitivity of the portfolio and decreasing the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Master LLC&#146;s exposure to interest rate risk.</FONT><BR>
<BR>
<FONT color="#231f20" size=5 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">&#149;</FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Forward Foreign Currency Exchange Contracts &#151; The Master LLC
may</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">enter into forward foreign currency exchange contracts as a hedge</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">against either specific transactions or portfolio positions. Forward for-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">eign currency exchange contracts, when used by the Master LLC, help to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">manage the overall exposure to the foreign currency backing some of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">investments held by the Master LLC. The contract is marked-to-market</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">daily and the change in market value is recorded by the Master LLC as</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">an unrealized gain or loss. When the contract is closed, the Master LLC</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">records a realized gain or loss equal to the difference between the value</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">at the time it was opened and the value at the time it was closed.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Foreign Currency Transactions: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Foreign currency amounts are translated
into</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">United States dollars on the following basis: (i) market value of investment</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">securities, assets and liabilities at the current rate of exchange; and (ii) pur-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">chases and sales of investment securities, income and expenses at the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">rates of exchange prevailing on the respective dates of such transactions.</FONT></P>
<P align="left">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">68 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>

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<A name="page_70"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC reports foreign currency related transactions as compo-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>nents of realized gains for financial reporting purposes, whereas such com-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ponents are treated as ordinary income for federal income tax purposes.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Floating Rate Loans: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC invests in floating rate loans, which</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are generally non-investment grade, made by banks, other financial institu-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions and privately and publicly offered corporations. Floating rate loans</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>generally pay interest at rates that are periodically predetermined by refer-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ence to a base lending rate plus a premium. The base lending rates are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>generally (i) the lending rate offered by one or more European banks, such</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>one or more U.S. banks or (iii) the certificate of deposit rate. The Master</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC considers these investments to be investments in debt securities for</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>purposes of its investment policies.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC earns and/or pays facility and other fees on floating</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate loans. Other fees earned/paid include commitment, amendment,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>consent, commissions and prepayment penalty fees. Facility, amendment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and consent fees are typically amortized as premium and/or accreted as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>discount over the term of the loan. Commitment, commission and various</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other fees are recorded as income or expense. Prepayment penalty fees</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are recorded as gains or losses. When the Master LLC buys a floating rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan it may receive a facility fee and when it sells a floating rate loan it</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may pay a facility fee. On an ongoing basis, a Master LLC may receive a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commitment fee based on the undrawn portion of the underlying line of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit portion of a floating rate loan. In certain circumstances, a Master LLC</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may receive a prepayment penalty fee upon the prepayment of a floating</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate loan by a borrower. Other fees received by a Master LLC may include</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>covenant waiver fees and covenant modification fees.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC may invest in multiple series or tranches of a loan. A</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>different series or tranche may have varying terms and carry different</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>associated risks.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating rate loans are usually freely callable at the issuer&#146;s option. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC may invest in such loans in the form of participations in loans</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(&#147;Participations&#148;) and assignments of all or a portion of loans from third</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>parties. Participations typically will result in the Master LLC having a con-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tractual relationship only with the lender, not with the borrower. The Master</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC will have the right to receive payments of principal, interest and any</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fees to which it is entitled only from the lender selling the Participation and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>only upon receipt by the lender of the payments from the borrower.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In connection with purchasing Participations, the Master LLC generally will</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>have no right to enforce compliance by the borrower with the terms of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan agreement relating to the loans, nor any rights of offset against the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrower, and the Master LLC may not benefit directly from any collateral</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>supporting the loan in which it has purchased the Participation.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>As a result, the Master LLC will assume the credit risk of both the borrower</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and the lender that is selling the Participation. The Master LLC&#146;s invest-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments in loan participation interests involve the risk of insolvency of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial intermediaries who are parties to the transactions. In the event of</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the insolvency of the lender selling the Participation, the Master LLC may</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be treated as a general creditor of the lender and may not benefit from any</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>offset between the lender and the borrower.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Segregation and Collateralization: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In cases in which the 1940 Act and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the interpretive positions of the Securities and Exchange Commission</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(&#147;SEC&#148;) require that the Master LLC segregates assets in connection with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>certain investments (e.g., swaps and forward foreign currency contracts),</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC will, consistent with certain interpretive letters issued by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the SEC, designate on its books and records cash or other liquid securities</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>having a market value at least equal to the amount that would otherwise</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be required to be physically segregated. Furthermore, based on require-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments and agreements with certain exchanges and third party broker-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>dealers, the Master LLC may also be required to deliver or deposit</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities as collateral for certain investments (e.g., swaps).</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Investment Transactions and Investment Income: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>With respect to the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC, Investment transactions are recorded on the dates the trans-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>actions are entered into (the trade dates). Realized gains and losses on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>security transactions are determined on the identified cost basis. Dividend</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income is recorded on the ex-dividend dates. Dividends from foreign</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities where the ex-dividend date may have passed are subsequently</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recorded when the Master LLC has determined the ex-dividend date.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest income is recognized on the accrual basis. The Master LLC amor-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tizes all premiums and discounts on debt securities.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Income Taxes: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC is classified as a partnership for federal</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income tax purposes. As such, each investor in the Master LLC is treated as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>owner of its proportionate share of the net assets, income, expenses and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>realized and unrealized gains and losses of the Master LLC. Therefore, no</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>federal income tax provision is required. It is intended that the Master LLC&#146;s</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets will be managed so an investor in the Master LLC can satisfy the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>requirements of Subchapter M of the Internal Revenue Code.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC files US federal and various state and local tax returns.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No income tax returns are currently under examination. The statute of limi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tations on the Master LLC&#146;s US federal tax returns remains open for each</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the four years ended August 31, 2008. The statutes of limitations on the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC&#146;s state and local tax returns may remain open for an additional</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>year depending upon the jurisdiction.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Recent Accounting Pronouncement: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In March 2008, Statement of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial Accounting Standards No. 161, &#147;Disclosures about Derivative</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Instruments and Hedging Activities &#151; an amendment of FASB Statement</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No. 133&#148; (&#147;FAS 161&#148;), was issued. FAS 161 is intended to improve financial</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reporting for derivative instruments by requiring enhanced disclosure that</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>enables investors to understand how and why an entity uses derivatives,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>how derivatives are accounted for, and how derivative instruments affect an</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>entity&#146;s results of operations and financial position. FAS 161 is effective for</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial statements issued for fiscal years and interim periods beginning</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>after November 15, 2008. The impact on the Master LLC&#146;s financial state-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment disclosures, if any, is currently being assessed.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 69</FONT></P>
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<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT></P>
<P align=left><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Other: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expenses directly related to the Master LLC are charged to that</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC. Other operating expenses shared by several funds are pro-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rated among those funds on the basis of relative net assets or other</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>appropriate methods.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>2. Transactions with Affiliates:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC entered into an Investment Advisory Agreement with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Advisors, LLC (the &#147;Advisor&#148;) to provide investment advisory</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and administration services. As of January 31, 2009, The PNC Financial</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Services Group, Inc. (&#147;PNC&#148;) and Bank of America Corporation (&#147;BAC&#148;) are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the largest stockholders of BlackRock, Inc. (&#147;BlackRock&#148;). BAC became a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>stockholder of BlackRock following its acquisition of Merrill Lynch &amp; Co.,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inc. (&#147;Merrill Lynch&#148;) on January 1, 2009. Prior to that date, both PNC and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Merrill Lynch were considered affiliates of the Master LLC under the 1940</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Act. Subsequent to the acquisition, PNC remains an affiliate, but due to the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>restructuring of Merrill Lynch&#146;s ownership interest of BlackRock, BAC is not</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>deemed to be an affiliate under the 1940 Act.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Advisor is responsible for the management of the Master LLC&#146;s portfolio</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and provides the necessary personnel, facilities, equipment and certain</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other services necessary to the operations of the Master LLC. For such</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>services, the Master LLC pays the Advisor a monthly fee at an annual rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of 0.95% of the average daily value of the Master LLC&#146;s net assets.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Advisor has entered into a separate sub-advisory agreement with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Financial Management, Inc. (&#147;BFM&#148;), an affiliate the Advisor,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>under which the Advisor pays BFM for services it provides, monthly fee</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that is a percentage of the investment advisory fee paid by the Master LLC</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the Advisor.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2009, the Master LLC reimbursed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Advisor $4,863 for certain accounting services, which are included in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accounting services in the Statement of Operations.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain officers and/or directors of the Master LLC are officers and/or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>directors of BlackRock, Inc. or its affiliates. The Master LLC reimburses the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advisor for compensation to the Master LLC&#146;s Chief Compliance Officer.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>3. Investments:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases and sales (including paydowns) of investments, excluding</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>short-term securities, for the six months ended February 28, 2009 were</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$61,781,412 and $133,239,614, respectively.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>4. Commitments:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC may invest in floating rate loans. In connection with these</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments, the Master LLC may also enter into unfunded corporate loan</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(&#147;commitments&#148;). Commitments may obligate the Master LLC to furnish</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>temporary financing to a borrower until permanent financing can be</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>arranged. In connection with these commitments, the Master LLC earns a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commitment fee, typically set as a percentage of the commitment amount.</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Such fee income, which is classified in the Statement of Operations as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>facility and other fees, is recognized ratably over the commitment period.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>As of February 28, 2009 the Master LLC had the following unfunded</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan commitments:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="41%"></TD>
     <TD width="24%"></TD>
     <TD width="14%"></TD>
     <TD width="10%"></TD>
     <TD width="7%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value of</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Underlying</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitment</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 noWrap align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Borrower</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 noWrap align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 noWrap align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bausch &amp; Lomb, Inc</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>170</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit Corp</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>803</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>790</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>5. Short-Term Borrowings:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC, along with certain other funds managed by the Manager</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and its affiliates, is a party to a $500 million credit agreement with a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>group of lenders, which expired November 2008 and was subsequently</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>renewed until November 2009. The Master LLC may borrow under the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit agreement to fund shareholder redemptions and for other lawful</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>purposes other than for leverage. The Master LLC may borrow up to the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>maximum amount allowable under the Master LLC&#146;s current Prospectus</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Statement of Additional Information, subject to various other legal,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>regulatory or contractual limits. The Master LLC paid its pro rata share of a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.02% upfront fee on the aggregate commitment amount based on its net</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets as of October 31, 2008. The Master LLC pays a commitment fee of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.08% per annum based on the Master LLC&#146;s pro rata share of the unused</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>portion of the credit agreement, which is included in miscellaneous in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Statement of Operations. Amounts borrowed under the credit agreement</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>bear interest at a rate equal to the higher of (a) federal funds effective rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and (b) reserve adjusted one month LIBOR, plus, in each case, the higher</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of (i) 1.50% and (ii) 50% of the CDX Index (as defined in the credit agree-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment) in effect from time to time. The Master LLC did not borrow under the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit agreement during the six months ended February 28, 2009.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>6. Market and Credit Risk:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In the normal course of business, the Master LLC invests in securities and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>enters into transactions where risks exist due to fluctuations in the market</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(market risk) or failure of the issuer of a security to meet all its obligations</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(credit risk). The value of securities held by the Master LLC may decline in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>response to certain events, including those directly involving the issuers</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>whose securities are owned by the Master LLC; conditions affecting the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>general economy; overall market changes; local, regional or global political,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>social or economic instability; and currency and interest rate and price</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fluctuations. Similar to credit risk, the Master LLC may be exposed to coun-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>terparty risk, or the risk that an entity with which the Master LLC has unset-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tled or open transactions may default. Financial assets, which potentially</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expose the Master LLC to credit and counterparty risks, consist principally</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of investments and cash due from counterparties. The extent of the Master</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLCs&#146; exposure to credit and counterparty risks with respect to these finan-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cial assets is approximated by their value recorded in the Master LLCs&#146;</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Statement of Assets and Liabilities.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>70 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>
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<P align="left">
<FONT color="#005595" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Officers and Directors/Trustees</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Richard E. Cavanagh, Chairman of the Board and Director/Trustee</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Karen P. Robards, Vice Chair of the Board, Chair of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Audit Committee and Director/Trustee</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">G. Nicholas Beckwith, III, Director/Trustee</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Richard S. Davis, Director/Trustee</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Kent Dixon, Director/Trustee</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Frank J. Fabozzi, Director/Trustee</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Kathleen F. Feldstein, Director/Trustee</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">James T. Flynn, Director/Trustee</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Henry Gabbay, Director/Trustee</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Jerrold B. Harris, Director/Trustee</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">R. Glenn Hubbard, Director/Trustee</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">W. Carl Kester, Director/Trustee</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Donald C. Burke, Fund President and Chief Executive Officer</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Anne F. Ackerley, Vice President</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Neal J. Andrews, Chief Financial Officer</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Jay M. Fife, Treasurer</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Brian P. Kindelan, Chief Compliance Officer of the Funds</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Howard B. Surloff, Secretary</FONT></P>
<P align="left">
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">BlackRock Defined Opportunity Credit Trust</FONT></B><BR>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">BlackRock Diversified Income Strategies Fund, Inc.</FONT></B><BR>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT></B><BR>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">BlackRock Limited Duration Income Trust</FONT></B><BR>
<BR>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Custodian</FONT></B><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">State Street Bank and Trust Company</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Boston, MA 02101</FONT><BR>
<BR>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Transfer Agent</FONT></B><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Computershare Trust Company, N.A.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Providence, RI 02940</FONT><BR>
<BR>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">BlackRock Senior Floating Rate Fund, Inc.</FONT></B><BR>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">BlackRock Senior Floating Rate Fund II, Inc.</FONT></B><BR>
<BR>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Custodian</FONT></B><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Bank of New York Mellon</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">New York, NY 10286</FONT><BR>
<BR>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Transfer Agent</FONT></B><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">PNC Global Investment Servicing (U.S.) Inc.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Wilmington, DE 19809</FONT><BR>
<BR>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">For All Funds:</FONT></B><BR>
<BR>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Accounting Agent</FONT></B><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">State Street Bank and Trust Company</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Princeton, NJ 08540</FONT><BR>
<BR>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Independent Registered Public</FONT></B><BR>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Accounting Firm</FONT></B><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Deloitte &amp; Touche </FONT><FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">LLP</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Princeton, NJ 08540</FONT><BR>
<BR>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Legal Counsel</FONT></B><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Skadden, Arps, Slate, Meagher &amp; Flom </FONT><FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">LLP</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">New York, NY 10036</FONT><BR>
<BR>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Fund Address</FONT></B><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">100 Bellevue Parkway</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Wilmington, DE 19809</FONT></P>
<P align="left">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Effective January 1, 2009, Robert S. Salomon, Jr. retired as</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Director/Trustee of the Funds. The Board wishes Mr. Salomon</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">well in his retirement.</FONT></P>
<P align="left">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">SEMI-ANNUAL REPORT FEBRUARY 28, 2009 71</FONT></P>

<HR noshade align="center" width="100%" size=2>



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<A name="page_73"></A>

<P align="left">
<FONT color="#005595" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Additional Information</FONT><BR>
<BR>
<B><FONT color="#005595" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Proxy Results</FONT></B><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Annual Meeting of Shareholders was held on September 12, 2008 for shareholders of record on July 14, 2008 to elect director/trustee nominees of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">each Fund:</FONT></P>
<TABLE border=0 cellspacing=0>
<TR>
     <TD width=37%></TD>
     <TD width=13%></TD>
     <TD width=9%></TD>
     <TD width=10%></TD>
     <TD width=9%></TD>
     <TD width=10%></TD>
     <TD width=8%></TD></TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Approved the Directors/Trustees as follows:</FONT>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap colspan=2 style="border-bottom:1px solid #000000;">
 &nbsp; &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">G. Nicholas Beckwith, III</FONT></B>&nbsp;</TD>
	<TD align=center nowrap colspan=2 style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Kent Dixon</FONT></B>&nbsp;</TD>
	<TD align=center nowrap colspan=2 style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">R. Glenn Hubbard</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Diversified Income Strategies Fund, Inc.</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">9,925,257</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">175,303</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">9,926,382</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">174,178</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">9,925,852</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">174,708</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">14,372,341</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">233,038</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">14,365,248</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">240,131</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">14,367,596</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">237,783</FONT>&nbsp;</TD>
</TR>
<TR>
	<TD colspan=7>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=center nowrap colspan=2 style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">W. Carl Kester</FONT></B>&nbsp;</TD>
	<TD align=center nowrap colspan=2 style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Robert S. Salomon, Jr.</FONT></B>&nbsp;</TD>
	<TD align=center nowrap colspan=2 style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Richard S. Davis</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Diversified Income Strategies Fund, Inc.</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">9,931,332</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">169,228</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">9,927,027</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">173,533</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">9,931,425</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">169,135</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">14,371,576</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">233,803</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">14,362,354</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">243,025</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">14,368,564</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">236,815</FONT>&nbsp;</TD>
</TR>
<TR>
	<TD colspan=7>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=center nowrap colspan=2 style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Frank J. Fabozzi</FONT></B>&nbsp;</TD>
	<TD align=center nowrap colspan=2 style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">James T. Flynn</FONT></B>&nbsp;</TD>
	<TD align=center nowrap colspan=2 style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Karen P. Robards</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Diversified Income Strategies Fund, Inc.</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">9,929,686</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">170,874</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">9,928,366</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">172,194</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">9,931,412</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">169,148</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">14,370,537</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">234,842</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">14,366,141</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">239,238</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">14,367,784</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">237,595</FONT>&nbsp;</TD>
</TR>
<TR>
	<TD colspan=7>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=center nowrap colspan=2 style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Richard E. Cavanagh</FONT></B>&nbsp;</TD>
	<TD align=center nowrap colspan=2 style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Kathleen F. Feldstein</FONT></B>&nbsp;</TD>
	<TD align=center nowrap colspan=2 style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Henry Gabbay</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Diversified Income Strategies Fund, Inc.</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">9,932,186</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">168,374</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">9,926,659</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">173,901</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">9,928,672</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">171,888</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">14,372,341</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">233,038</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">14,365,872</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">239,507</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">14,368,564</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">236,815</FONT>&nbsp;</TD>
</TR>
<TR>
	<TD colspan=7>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=center colspan=7 style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Jerrold B. Harris</FONT></B></TD>
</TR>
<TR>
	<TD colspan=7><HR noshade size=1></TD></TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Diversified Income Strategies Fund, Inc.</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">9,930,605</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">169,955</FONT>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">14,370,470</FONT>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">234,909</FONT>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
</TR>
<TR>
	<TD colspan=7>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Approved the Class I Directors/Trustees as follows:</FONT>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap colspan=2 style="border-bottom:1px solid #000000;">
 &nbsp; &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">G. Nicholas Beckwith, III</FONT></B>&nbsp;</TD>
	<TD align=center nowrap colspan=2 style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Kent Dixon</FONT></B>&nbsp;</TD>
	<TD align=center nowrap colspan=2 style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">R. Glenn Hubbard</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Defined Opportunity Credit Trust</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">8,602,281</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp; &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">98,661</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">8,601,615</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp; &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">99,327</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">8,602,781</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp; &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">98,161</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Limited Duration Income Trust</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">30,799,737</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">392,487</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">30,793,529</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">398,695</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">30,791,279</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">400,945</FONT>&nbsp;</TD>
</TR>
<TR>
	<TD colspan=7>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=center nowrap colspan=2 style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">W. Carl Kester</FONT></B>&nbsp;</TD>
	<TD align=center nowrap colspan=2 style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Robert S. Salomon, Jr.</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
	<TD align=right nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Votes For</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Withheld</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Defined Opportunity Credit Trust</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">8,602,281</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp; &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">98,661</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">8,594,615</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">106,327</FONT>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Limited Duration Income Trust</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">30,799,289</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">392,935</FONT>&nbsp;</TD>
	<TD align=right nowrap>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">30,788,987</FONT>&nbsp;</TD>
	<TD align=left nowrap>
 &nbsp;<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">403,237</FONT>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
</TR>
</TABLE><BR>
<P align="left">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">72 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>

<HR noshade align="center" width="100%" size=2>


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<A name="page_74"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Additional Information (continued)</FONT><BR>
<BR>
<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Section 19 Notices</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These amounts are sources of distributions reported are only estimates</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and are not being provided for tax reporting purposes. The actual amounts</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and sources of the amounts for tax reporting purposes will depend upon</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each Fund&#146;s investment experience during the year and may be subject</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to changes based on the tax regulations. The Funds will send you a Form</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1099-DIV each calendar year that will tell you how to report these distribu-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions for federal income tax purposes.</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="20%"></TD>
     <TD width="16%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD>
     <TD width="9%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="5%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=3 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Fiscal Year-to-Date Cumulative</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Percentage of Fiscal Year-to-Date</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Distributions by Character</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cumulative Distributions by Character</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Per</FONT></B>&nbsp;</TD>
     <TD noWrap align=center>&nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Per</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Realized</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Return of</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Realized</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Return of</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Gains</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Share</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Gains</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Share</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Defined Opportunity</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.43725</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.23775</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.67500</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Diversified Income</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.63481</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.13519</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.77000</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>82%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Income</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.69440</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.02281</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.71721</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>97%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Limited Duration</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.52020</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.12233</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.64253</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>81%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" noWrap align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Availability of Quarterly Schedule of Investments</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds file their complete schedule of portfolio holdings with the SEC</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for the first and third quarters of each fiscal year on Form N-Q. The Funds&#146;</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Forms N-Q are available on the SEC&#146;s website at http://www.sec.gov</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and may also be reviewed and copied at the SEC&#146;s Public Reference</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Room in Washington, DC. Information on the operation of the Public</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reference Room may be obtained by calling (800) SEC-0330. The Funds&#146;</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Forms N-Q may also be obtained upon request and without charge by call-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing (800) 441-7762.</FONT></P>
<P align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Delivery</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Electronic copies of most financial reports are available on the Funds&#146; web-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sites or shareholders can sign up for e-mail notifications of quarterly state-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments, annual and semi-annual reports by enrolling in the Funds&#146; electronic</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>delivery program.</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Shareholders Who Hold Accounts with Investment Advisors, Banks</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>or Brokerages:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Please contact your financial advisor to enroll. Please note that not all</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment advisors, banks or brokerages may offer this service.</FONT></P>
<P align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>General Information</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds will mail only one copy of shareholder documents, including</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>annual and semi-annual reports and proxy statements, to shareholders</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with multiple accounts at the same address. This practice is commonly</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>called &#147;householding&#148; and it is intended to reduce expenses and eliminate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>duplicate mailings of shareholder documents. Mailings of your shareholder</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>documents may be householded indefinitely unless you instruct us other-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>wise. If you do not want the mailing of these documents to be combined</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with those for other members of your household, please contact the Funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>at (800) 441-7762.</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Quarterly performance, semi-annual and annual reports and other informa-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion regarding the Funds may be found on BlackRock&#146;s website, which can</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be accessed at http://www.blackrock.com. This reference to BlackRock&#146;s</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>website is intended to allow investors public access to information regard-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing the Funds and does not, and is not intended to, incorporate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock&#146;s website into this report.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2009 73</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>


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<A name="page_75"></A>

<P align="left">
<FONT color="#005595" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Additional Information (concluded)</FONT><BR>
<BR>
<B><FONT color="#005595" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">BlackRock Privacy Principles</FONT></B><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock is committed to maintaining the privacy of its current and former</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">fund investors and individual clients (collectively, &#147;Clients&#148;) and to safe-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">guarding their non-public personal information. The following information</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">is provided to help you understand what personal information BlackRock</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">collects, how we protect that information and why in certain cases we share</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">such information with select parties.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">If you are located in a jurisdiction where specific laws, rules or regulations</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">require BlackRock to provide you with additional or different privacy-related</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">rights beyond what is set forth below, then BlackRock will comply with</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">those specific laws, rules or regulations.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock obtains or verifies personal non-public information from and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">about you from different sources, including the following: (i) information</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">we receive from you or, if applicable, your financial intermediary, on appli-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">cations, forms or other documents; (ii) information about your transactions</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">with us, our affiliates, or others; (iii) information we receive from a con-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">sumer reporting agency; and (iv) from visits to our websites.</FONT></P>
<P align="left">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock does not sell or disclose to non-affiliated third parties any non-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">public personal information about its Clients, except as permitted by law</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">or as is necessary to respond to regulatory requests or to service Client</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">accounts. These non-affiliated third parties are required to protect the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">confidentiality and security of this information and to use it only for its</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">intended purpose.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">We may share information with our affiliates to service your account or to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">provide you with information about other BlackRock products or services</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">that may be of interest to you. In addition, BlackRock restricts access to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">non-public personal information about its Clients to those BlackRock</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">employees with a legitimate business need for the information. BlackRock</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">maintains physical, electronic and procedural safeguards that are designed</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to protect the non-public personal information of its Clients, including pro-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">cedures relating to the proper storage and disposal of such information.</FONT></P>
<P align="left">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">74 SEMI-ANNUAL REPORT FEBRUARY 28, 2009</FONT></P>

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<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a
represen-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tation of future performance. BlackRock Defined Opportunity Credit Trust, BlackRock Diversified Income Strategies Fund, Inc., BlackRock Floating Rate</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Income Strategies Fund, Inc., BlackRock Limited Duration Income Trust, BlackRock Senior Floating Rate Fund, Inc., BlackRock Senior Floating Rate Fund
II,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Inc. leverage their Common Shares, which creates risk for Common Shareholders, including the likelihood of greater volatility of net asset value and
market</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">price of Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares&#146; yield. Statements and other
informa-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tion herein are as dated and are subject to change.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1)
without</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">charge, upon request, by calling toll-free (800) 441-7762; (2) at www.blackrock.com; and (3) on the Securities and Exchange Commission&#146;s website at</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">http://www.sec.gov. Information about how each Fund voted proxies relating to securities held in each Fund&#146;s portfolio during the most recent
12-month</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">period ended June 30, 2008 is available upon request and without charge (1) at www.blackrock.com or by calling (800) 441-7762 and (2) on the Securities</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and Exchange Commission&#146;s website at http://www.sec.gov.</FONT></P>
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<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 2 &#150; Code of Ethics &#150; Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 3 &#150; Audit Committee Financial Expert &#150; Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 4 &#150; Principal Accountant Fees and Services &#150; Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 5 &#150; Audit Committee of Listed Registrants &#150; Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 6 &#150; Investments</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a) The registrant&#146;s Schedule of Investments is included as part of the Report to Stockholders filed under</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 1 of this form.</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Form N-CSR filing.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 7 &#150; Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies &#150;</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 8 &#150; Portfolio Managers of Closed-End Management Investment Companies &#150; as of February 28, 2009</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a) Not Applicable</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(b) Effective May 8, 2009, Messrs. Mark Williams and Kevin Booth, each a portfolio manager of the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">registrant identified in response to paragraph (a) of this item in the registrant&#146;s most recent annual report,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">has resigned from the registrant&#146;s investment adviser.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Effective May 8, 2009, the registrant is managed by a team of investment professionals comprised of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Leland T. Hart, Managing Director at BlackRock and C. Adrian Marshall, Director at BlackRock. Messrs.</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Hart and Marshall are the Fund&#146;s co-portfolio managers and are responsible for the day-to-day</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">management of the Fund&#146;s portfolio and the selection of its investments. Messrs. Hart and Marshall have</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">been members of the Fund&#146;s management team since 2009.</FONT></P>
<P align="left">
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Portfolio Manager Biography</FONT></B><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Leland T. Hart Managing Director of BlackRock, Inc. since 2009; Partner of R3 Capital</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Partners ("R3") in 2009; Managing Director of R3 from 2008 - 2009;</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Managing Director of Lehman Brothers from 2006 - 2008; Executive Director</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of Lehman Brothers from 2003 - 2006.</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">C. Adrian Marshall Director of BlackRock, Inc. since 2007; Vice President of BlackRock, Inc.</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">from 2004 - 2007.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a)(2) As of May 8, 2009:</FONT></P>
<TABLE border=0 cellspacing=0>
<TR>
     <TD width=22%></TD>
     <TD width=15%></TD>
     <TD width=13%></TD>
     <TD width=13%></TD>
     <TD width=10%></TD>
     <TD width=16%></TD>
     <TD width=7%></TD></TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=right nowrap colspan=3>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">(ii) Number of Other Accounts Managed</FONT></B>&nbsp;</TD>
	<TD align=center nowrap colspan=3>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">(iii) Number of Other Accounts and</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=center nowrap colspan=3>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">and Assets by Account Type</FONT></B>&nbsp;</TD>
	<TD align=center nowrap colspan=3>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Assets for Which Advisory Fee is</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=center nowrap style="border-bottom:1px solid #000000;">
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Performance-Based</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Other</FONT></B>&nbsp;</TD>
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Other Pooled</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Other</FONT></B>&nbsp;</TD>
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Other Pooled</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">(i) Name of</FONT></B>&nbsp;</TD>
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Registered</FONT></B>&nbsp;</TD>
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Investment</FONT></B>&nbsp;</TD>
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Other</FONT></B>&nbsp;</TD>
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Registered</FONT></B>&nbsp;</TD>
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Investment</FONT></B>&nbsp;</TD>
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Other</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Portfolio Manager</FONT></B>&nbsp;</TD>
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Investment</FONT></B>&nbsp;</TD>
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Vehicles</FONT></B>&nbsp;</TD>
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Accounts</FONT></B>&nbsp;</TD>
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Investment</FONT></B>&nbsp;</TD>
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Vehicles</FONT></B>&nbsp;</TD>
	<TD align=center nowrap>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Accounts</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=center nowrap style="border-bottom:1px solid #000000;">
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Companies</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=center nowrap style="border-bottom:1px solid #000000;">
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Companies</FONT></B>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#ccffff" align=left nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Leland T. Hart</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">9</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">0</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">0</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">0</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">0</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">0</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;1.92 Billion</FONT>&nbsp;</TD>
	<TD align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;0</FONT>&nbsp;</TD>
	<TD align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;0</FONT>&nbsp;</TD>
	<TD align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;0</FONT>&nbsp;</TD>
	<TD align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;0</FONT>&nbsp;</TD>
	<TD align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;0</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#ccffff" align=left nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">C. Adrian Marshall</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">9</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">3</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">0</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">0</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">0</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;1.92 Billion</FONT>&nbsp;</TD>
	<TD align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;49.4 Million</FONT>&nbsp;</TD>
	<TD align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;441.3 Million</FONT>&nbsp;</TD>
	<TD align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;0</FONT>&nbsp;</TD>
	<TD align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;0</FONT>&nbsp;</TD>
	<TD align=center nowrap style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;0</FONT>&nbsp;</TD>
</TR>
</TABLE><BR>
<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(iv) Potential Material Conflicts of Interest</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock and its affiliates (collectively, herein &#147;BlackRock&#148;) has built a professional working</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">environment, firm-wide compliance culture and compliance procedures and systems designed to protect</FONT></P>

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<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">against potential incentives that may favor one account over another. BlackRock has adopted policies and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">procedures that address the allocation of investment opportunities, execution of portfolio transactions,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">personal trading by employees and other potential conflicts of interest that are designed to ensure that all</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">applicable law, make investment recommendations to other clients or accounts (including accounts which</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">have a personal interest in the receipt of such fees), which may be the same as or different from those made</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">to the Fund. In addition, BlackRock, its affiliates and significant shareholders and any officer, director,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">stockholder or employee may or may not have an interest in the securities whose purchase and sale</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock recommends to the Fund. BlackRock, or any of its affiliates or significant shareholders, or any</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">officer, director, stockholder, employee or any member of their families may take different actions than</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">may refrain from rendering any advice or services concerning securities of companies of which any of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock&#146;s (or its affiliates&#146; or significant shareholders&#146;) officers, directors or employees are directors or</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">officers, or companies as to which BlackRock or any of its affiliates or significant shareholders or the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">officers, directors and employees of any of them has any substantial economic interest or possesses</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">material non-public information. Each portfolio manager also may manage accounts whose investment</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">strategies may at times be opposed to the strategy utilized for a fund. In this connection, it should be noted</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">that a portfolio manager may currently manage certain accounts that are subject to performance fees. In</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">addition, a portfolio manager may assist in managing certain hedge funds and may be entitled to receive a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">portion of any incentive fees earned on such funds and a portion of such incentive fees may be voluntarily</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">or involuntarily deferred. Additional portfolio managers may in the future manage other such accounts or</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">funds and may be entitled to receive incentive fees.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock purchases or sells securities for more than one account, the trades must be allocated in a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">equitable manner among client accounts, with no account receiving preferential treatment. To this end,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock has adopted a policy that is intended to ensure that investment opportunities are allocated fairly</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and equitably among client accounts over time. This policy also seeks to achieve reasonable efficiency in</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">that is consistent with the particular investment discipline and client base.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a)(3) As of May 8, 2009:</FONT><BR>
<BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Portfolio Manager Compensation Overview</FONT></B><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock&#146;s financial arrangements with its portfolio managers, its competitive compensation and its</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">career path emphasis at all levels reflect the value senior management places on key resources.</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Compensation may include a variety of components and may vary from year to year based on a number of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">factors. The principal components of compensation include a base salary, a performance-based</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">discretionary bonus, participation in various benefits programs and one or more of the incentive</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">compensation programs established by BlackRock such as its Long-Term Retention and Incentive Plan and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Restricted Stock Program.</FONT></P>

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<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Base compensation. </FONT></B><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Generally, portfolio managers receive base compensation based on their
seniority</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and/or their position with the firm. Senior portfolio managers who perform additional management</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">functions within the portfolio management group or within BlackRock may receive additional</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">compensation for serving in these other capacities.</FONT><BR>
<BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Discretionary Incentive Compensation</FONT></B><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Discretionary incentive compensation is a function of several components: the performance of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock, Inc., the performance of the portfolio manager&#146;s group within BlackRock, the investment</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">performance, including risk-adjusted returns, of the firm&#146;s assets under management or supervision by that</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">portfolio manager relative to predetermined benchmarks, and the individual&#146;s seniority, role within the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">portfolio management team, teamwork and contribution to the overall performance of these portfolios and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock. In most cases, including for the portfolio managers of the Fund, these benchmarks are the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">same as the benchmark or benchmarks against which the performance of the Fund or other accounts</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">managed by the portfolio managers are measured. BlackRock&#146;s Chief Investment Officers determine the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">benchmarks against which the performance of funds and other accounts managed by each portfolio</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">manager is compared and the period of time over which performance is evaluated. With respect to the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">portfolio managers, such benchmarks for the Fund include a combination of market-based indices (e.g.,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">CSFB Leveraged Loan Index, CSFB High Yield II Value Index), certain customized indices and certain</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">fund industry peer groups.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock&#146;s Chief Investment Officers make a subjective determination with respect to the portfolio</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">managers&#146; compensation based on the performance of the funds and other accounts managed by each</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">portfolio manager relative to the various benchmarks noted above. Performance is measured on both a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">pre-tax and after-tax basis over various time periods including 1, 3, 5 and 10-year periods, as applicable.</FONT><BR>
<BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Distribution of Discretionary Incentive Compensation</FONT></B><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock, Inc. restricted stock units which vest ratably over a number of years. The BlackRock, Inc.</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">restricted stock units, if properly vested, will be settled in BlackRock, Inc. common stock. Typically, the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">cash bonus, when combined with base salary, represents more than 60% of total compensation for the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">portfolio managers. Paying a portion of annual bonuses in stock puts compensation earned by a portfolio</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">manager for a given year &#147;at risk&#148; based on BlackRock&#146;s ability to sustain and improve its performance</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">over future periods.</FONT><BR>
<BR>
<I><FONT size=2 face="TimesNewRomanPS-ItalicMT,Times New Roman,Times,serif">Long-Term Retention and Incentive Plan (&#147;LTIP&#148;) &#151; </FONT></I><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">The LTIP is a long-term
incentive plan</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">that seeks to reward certain key employees. Prior to 2006, the plan provided for the grant of awards that</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">were expressed as an amount of cash that, if properly vested and subject to the attainment of certain</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">performance goals, will be settled in cash and/or in BlackRock, Inc. common stock. Beginning in 2006,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">awards are granted under the LTIP in the form of BlackRock, Inc. restricted stock units that, if properly</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">vested and subject to the attainment of certain performance goals, will be settled in BlackRock, Inc.</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">common stock. Mr. Marshall has received awards under the LTIP.</FONT><BR>
<BR>
<I><FONT size=2 face="TimesNewRomanPS-ItalicMT,Times New Roman,Times,serif">Deferred Compensation Program &#151; </FONT></I><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">A portion of the compensation paid to eligible
BlackRock</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">employees may be voluntarily deferred into an account that tracks the performance of certain of the firm&#146;s</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">investment products. Each participant in the deferred compensation program is permitted to allocate his</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">deferred amounts among the various investment options. Mr. Marshall has participated in the deferred</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">compensation program.</FONT></P>

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<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Other compensation benefits. </FONT></B><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">In addition to base compensation and discretionary
incentive</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">compensation, portfolio managers may be eligible to receive or participate in one or more of the following:</FONT><BR>
<BR>
<I><FONT size=2 face="TimesNewRomanPS-ItalicMT,Times New Roman,Times,serif">Incentive Savings Plans &#151; </FONT></I><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock, Inc. has created a variety of incentive savings plans
in</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">which BlackRock employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">contribution components of the RSP include a company match equal to 50% of the first 6% of eligible pay</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">contributed to the plan capped at &#36;4,000 per year, and a company retirement contribution equal to 3-5% of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">eligible compensation. The RSP offers a range of investment options, including registered investment</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">companies managed by the firm. BlackRock contributions follow the investment direction set by</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">participants for their own contributions or, absent employee investment direction, are invested into a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">balanced portfolio. The ESPP allows for investment in BlackRock common stock at a 5% discount on the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">purchase of 1,000 shares or a dollar value of &#36;25,000. Each portfolio manager except Mr. Hart is eligible</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">to participate in these plans.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">United Kingdom-based portfolio managers are also eligible to participate in broad-based plans</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">offered generally to BlackRock employees, including broad-based retirement, health and other employee</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">benefit plans. For example, BlackRock has created a variety of incentive savings plans in which</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock employees are eligible to participate, including a Group Personal Pension Plan (GPPP) and the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution to the GPPP is between 6%</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">to 15% (dependent on service related entitlement) of eligible pay capped at &#163;150,000 per annum. The</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">GPPP offers a range of investment options, including several collective investment funds managed by the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">firm. BlackRock contributions follow the investment direction set by participants for their own</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">contributions or, in the absence of an investment election being made, are invested into a passive balanced</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">managed fund. The ESPP allows for investment in BlackRock common stock at a 5% discount on the fair</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of 1,000 shares or a dollar value of &#36;25,000. Mr. Hart is eligible to participate in these plans.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a)(4) </FONT><I><FONT size=2 face="TimesNewRomanPS-ItalicMT,Times New Roman,Times,serif">Beneficial Ownership of Securities.</FONT></I></P>
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	<TD align=left nowrap>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Portfolio Manager</FONT></B>&nbsp;</TD>
	<TD align=left nowrap>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Dollar Range of Equity</FONT></B>&nbsp;</TD>
</TR>
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&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Securities Beneficially Owned</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Leland T. Hart</FONT>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">None</FONT>&nbsp;</TD>
</TR>
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<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">C. Adrian Marshall</FONT>&nbsp;</TD>
	<TD align=left nowrap style="border-bottom:1px solid #000000;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;1 - &#36;10,000</FONT>&nbsp;</TD>
</TR>
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<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 9 &#150; Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Purchasers &#150; Not Applicable</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 10 &#150; Submission of Matters to a Vote of Security Holders &#150; The registrant&#146;s Nominating and Governance</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Committee will consider nominees to the board of directors recommended by shareholders when a vacancy</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">becomes available. Shareholders who wish to recommend a nominee should send nominations that include</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">biographical information and set forth the qualifications of the proposed nominee to the registrant&#146;s</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Secretary. There have been no material changes to these procedures.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 11 &#150; Controls and Procedures</FONT></P>

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<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">11(a) &#150; The registrant&#146;s principal executive and principal financial officers or persons performing similar functions</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">have concluded that the registrant&#146;s disclosure controls and procedures (as defined in Rule 30a-3(c) under</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the Investment Company Act of 1940, as amended (the &#147;1940 Act&#148;)) are effective as of a date within 90</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">days of the filing of this report based on the evaluation of these controls and procedures required by Rule</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">30a-3(b) under the 1940 Act and Rule 13(a)-15(b) under the Securities Exchange Act of 1934, as amended.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">11(b) &#150; There were no changes in the registrant&#146;s internal control over financial reporting (as defined in Rule 30a-</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">that have materially affected, or are reasonably likely to materially affect, the registrant&#146;s internal control</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">over financial reporting.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 12 &#150; Exhibits attached hereto</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">12(a)(1) &#150; Code of Ethics &#150; Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">12(a)(2) &#150; Certifications &#150; Attached hereto</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">12(a)(3) &#150; Not Applicable</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">12(b) &#150; Certifications &#150; Attached hereto</FONT></P>

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<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">authorized.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">By: </FONT><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Donald C. Burke</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Donald C. Burke</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Executive Officer of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: May 8, 2009</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1940, this report has been signed below by the following persons on behalf of the registrant and in the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">capacities and on the dates indicated.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">By: </FONT><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Donald C. Burke</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Donald C. Burke</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Executive Officer (principal executive officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: May 8, 2009</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">By: </FONT><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Neal J. Andrews</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Neal J. Andrews</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Financial Officer (principal financial officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: May 8, 2009</FONT></P>

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<DESCRIPTION>CERTIFICATION
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<P align=left><B><FONT size=2 face=Arial-BoldMT,Arial,Helvetica,sans-serif>EX-99.CERT</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">THE SARBANES-OXLEY ACT OF 2002</FONT></B><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">I, Donald C. Burke, Chief Executive Officer (principal executive officer) of BlackRock Floating Rate Income Strategies</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Fund, Inc., certify that:</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1. I have reviewed this report on Form N-CSR of BlackRock Floating Rate Income Strategies Fund, Inc.;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">material fact necessary to make the statements made, in light of the circumstances under which such statements were made,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">not misleading with respect to the period covered by this report;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">3. Based on my knowledge, the financial statements, and other financial information included in this report fairly</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">in this report;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">designed under our supervision, to ensure that material information relating to the registrant, including its</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">which this report is being prepared;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) designed such internal control over financial reporting, or caused such internal control over financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial reporting and the preparation of financial statements for external purposes in accordance with generally</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">accepted accounting principles;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">days prior to the filing date of this report, based on such evaluation; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">d) disclosed in this report any change in the registrant's internal control over financial reporting that</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reasonably likely to materially affect, the registrant's internal control over financial reporting; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of the registrant's board of directors (or persons performing the equivalent functions):</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">summarize, and report financial information; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) any fraud, whether or not material, that involves management or other employees who have a significant</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">role in the registrant's internal control over financial reporting.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: M<FONT size=2 face="Times New Roman">ay 8</FONT>, 2009</FONT><BR>
<BR>
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Donald C. Burke</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Donald C. Burke</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Executive Officer (principal executive officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT></P>
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<P align=left><B><FONT size=2 face=Arial-BoldMT,Arial,Helvetica,sans-serif>EX-99.CERT</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002</FONT></B><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">I, Neal J. Andrews, Chief Financial Officer (principal financial officer) of BlackRock Floating Rate Income</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Strategies Fund, Inc., certify that:</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1. I have reviewed this report on Form N-CSR of BlackRock Floating Rate Income Strategies Fund,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Inc.;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2. Based on my knowledge, this report does not contain any untrue statement of a material fact or</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">omit to state a material fact necessary to make the statements made, in light of the circumstances under</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">which such statements were made, not misleading with respect to the period covered by this report;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">3. Based on my knowledge, the financial statements, and other financial information included in this</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">report fairly present in all material respects the financial condition, results of operations, changes in net</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">registrant as of, and for, the periods presented in this report;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Company Act of 1940) for the registrant and have:</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">procedures to be designed under our supervision, to ensure that material information relating to the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">registrant, including its consolidated subsidiaries, is made known to us by others within those</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">entities, particularly during the period in which this report is being prepared;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) designed such internal control over financial reporting, or caused such internal control</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">over financial reporting to be designed under our supervision, to provide reasonable assurance</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">regarding the reliability of financial reporting and the preparation of financial statements for</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">external purposes in accordance with generally accepted accounting principles;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">c) evaluated the effectiveness of the registrant's disclosure controls and procedures and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">presented in this report our conclusions about the effectiveness of the disclosure controls and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">procedures, as of a date within 90 days prior to the filing date of this report, based on such</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">evaluation; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">d) disclosed in this report any change in the registrant's internal control over financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reporting that occurred during the second fiscal quarter of the period covered by this report that</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">has materially affected, or is reasonably likely to materially affect, the registrant's internal control</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">over financial reporting; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">audit committee of the registrant's board of directors (or persons performing the equivalent functions):</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a) all significant deficiencies and material weaknesses in the design or operation of internal</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">control over financial reporting which are reasonably likely to adversely affect the registrant's</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">ability to record, process, summarize, and report financial information; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) any fraud, whether or not material, that involves management or other employees who</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">have a significant role in the registrant's internal control over financial reporting.</FONT></P>
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<P align=left><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: M<FONT size=2 face="Times New Roman">ay 8</FONT>, 2009</FONT><BR>
<BR>
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Neal J. Andrews</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Neal J. Andrews</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Financial Officer (principal financial officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT></P>
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<P align=left><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exhibit 99.1350CERT</FONT><BR>
<BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Certification Pursuant to Rule 30a-2(b) under the 1940 Act and</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Section 906 of the Sarbanes Oxley Act</FONT></B><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Pursuant to 18 U.S.C. &#167; 1350, the undersigned officer of BlackRock Floating Rate Income Strategies Fund, Inc. (the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#147;registrant&#148;), hereby certifies, to the best of his knowledge, that the registrant's Report on Form N-CSR for the period ended</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">February 28, 2009, (the &#147;Report&#148;) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">condition and results of operations of the registrant.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: Ma<FONT size=2 face="Times New Roman">y 8</FONT>, 2009</FONT><BR>
<BR>
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Donald C. Burke</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Donald C. Burke</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Executive Officer (principal executive officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Pursuant to 18 U.S.C. &#167; 1350, the undersigned officer of BlackRock Floating Rate Income Strategies Fund, Inc. (the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#147;registrant&#148;), hereby certifies, to the best of his knowledge, that the registrant's Report on Form N-CSR for the period ended</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">February 28, 2009, (the &#147;Report&#148;) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">condition and results of operations of the registrant.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: Ma<FONT size=2 face="Times New Roman">y 8</FONT>, 2009</FONT><BR>
<BR>
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Neal J. Andrews</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Neal J. Andrews</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Financial Officer (principal financial officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">This certification is being furnished pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Commission</FONT><B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">.</FONT></B></P>
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end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
-----END PRIVACY-ENHANCED MESSAGE-----
