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<SEC-DOCUMENT>0000900092-10-000309.txt : 20100506
<SEC-HEADER>0000900092-10-000309.hdr.sgml : 20100506
<ACCEPTANCE-DATETIME>20100506121408
ACCESSION NUMBER:		0000900092-10-000309
CONFORMED SUBMISSION TYPE:	N-CSRS
PUBLIC DOCUMENT COUNT:		7
CONFORMED PERIOD OF REPORT:	20100228
FILED AS OF DATE:		20100506
DATE AS OF CHANGE:		20100506
EFFECTIVENESS DATE:		20100506

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:		10805446

	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>fra.htm
<DESCRIPTION>FRA
<TEXT>

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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: Anne F. Ackerley, Chief Executive Officer, BlackRock</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Floating Rate Income Strategies Fund, Inc., 55 East 52</FONT><SUP><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">nd </FONT></SUP><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Street, New York, NY 10055.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Registrant&#146;s telephone number, including area code: (800) 882-0052, Option 4</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date of fiscal year end: 08/31/2010</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date of reporting period: 02/28/2010</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 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, 2010 | (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>
<TR>
     <TD width=69%></TD>
     <TD width=30%></TD></TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;">
<FONT color="#005595" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Table of Contents</FONT>&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#e3e7f2" align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD bgcolor="#e3e7f2" align=right 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 valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Dear Shareholder</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">3</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Semi-Annual Report:</FONT></B>&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund Summaries</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">4</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Benefits and Risks of Leveraging</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">10</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Derivative Financial Instruments</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">11</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Disclosure of Expenses</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">11</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund Financial Statements</FONT>&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
 &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>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">12</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
 &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>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">38</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
 &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>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">40</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
 &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>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">42</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
 &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>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">45</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund Financial Highlights</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">46</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund Notes to Financial Statements</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">52</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<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>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">62</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<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>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
 &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>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">63</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
 &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>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">69</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
 &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>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">70</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
 &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>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">70</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
 &nbsp; &nbsp; &nbsp; &nbsp;<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statement of Cash Flows</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">71</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<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>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">72</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<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>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">73</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Officers and Directors</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">77</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Additional Information</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">78</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, 2010</FONT></P>

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<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dear Shareholder</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The past year marked a pivotal turning point for global markets as the Great Recession that started in December 2007 began to recede and give way to recov-</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ery. The dramatic about-face could be attributed to a confluence of factors, most notably the extraordinary policy actions of global governments and central</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>banks, a resurgence in corporate profits and growing signs of stability and healing in world economies.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>After reaching a trough in early March 2009, stocks galloped higher as investors were lured back into the markets by depressed valuations, desire for higher</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>yields and increasing confidence that all-out financial disaster had been averted. The result was a powerful upswing in global equities and other higher-risk</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets through the end of 2009. More recently, the combination of mixed economic data, lingering deflation issues (especially in Europe) and proposed fees</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and levies on banks dampened investor conviction, resulting in a several-week bout of profit-taking. The selloff had a more pronounced negative effect on inter-</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>national and emerging market equities due primarily to concerns of higher interest rates in Asia and negative headlines out of Europe, particularly in Greece.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Generally speaking, investors&#146; renewed affinity for risk was notable in the fixed income markets as well, where non-Treasury assets made a robust recovery. One</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the major themes in 2009 was the reversal of the flight-to-quality trade. High yield, one of the most battered areas during the financial crisis, emerged as</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the strongest-performing fixed income sector in both the taxable and tax-exempt space. Despite weak fundamentals, the municipal market produced solid</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>returns as technical conditions remained supportive of the asset class. Municipal bond mutual funds enjoyed strong inflows and tax-exempt issuance remained</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>low thanks to the ever-increasing popularity of the Build America Bond program. Nevertheless, state and local fiscal woes and bankruptcy fears remain firmly in</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the spotlight, and bear close monitoring.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>At the same time, yields on money market securities declined throughout the reporting period and remain near all-time lows, with the Federal Open Market</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Committee reiterating that economic circumstances are likely to necessitate an accommodative interest rate stance for an &#147;extended period.&#148; Investor assets in</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>money market funds declined from the peak registered in early 2009, but remain above levels registered prior to the financial crisis that began in 2007.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Against this backdrop, the major market averages posted the following returns:</FONT></P>
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     <TD width="28%"></TD>
     <TD width="9%"></TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Returns as of February 28, 2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>12-month</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.32%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53.62%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.59</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63.95</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.72</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54.58</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month Treasury bill (BofA Merrill Lynch 3-Month Treasury Bill Index)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.07</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.20</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.07</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.54)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.19</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.32</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.98</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13.86</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55.20</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp; &nbsp;<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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The market continues to show signs of improvement, but questions about the strength and sustainability of the recovery abound. Through periods of uncer-</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tainty, BlackRock&#146;s full resources are dedicated to the management of our clients&#146; assets. For additional market perspective and investment insight, visit</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>www.blackrock.com/shareholdermagazine</FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>, where you&#146;ll find the most recent issue of our award-winning </FONT><FONT color=#231f20 size=2 face=FranklinGothic-MedCndItal,Arial,Helvetica,sans-serif>Shareholder</FONT><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>&#174; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>magazine, as well as its quarterly com-</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>panion newsletter, </FONT><FONT color=#231f20 size=2 face=FranklinGothic-MedCndItal,Arial,Helvetica,sans-serif>Shareholder Perspectives</FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>. As always, we thank you for entrusting BlackRock with your investments, and we look forward to your continued</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>partnership in the months and years ahead.</FONT></P>
<IMG border=0 src="brtax-6sar0210x3x1.jpg">
<BR>
<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, 2010 </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust</FONT></B></P>
<P align=left><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-term capital appreciation.</FONT><BR>
<BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No assurance can be given that the Fund&#146;s investment objective will be achieved.</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, 2010, the Fund returned 17.73% based on market price and 9.88% based on net asset value (&#147;NAV&#148;). For the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>same period, the Lipper Loan Participation Funds category posted an average return of 29.78% on a market price basis and 13.09% on a NAV basis. 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 difference between performance</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on price and performance based on NAV. During the period, we generally favored less economically sensitive sectors and higher-quality credits, which</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>detracted from results as they underperformed lower-rated issues and those sectors with greater economic sensitivity. In addition, the Fund maintained</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>relatively conservative levels of leverage (at period end, 16% of the Fund&#146;s total managed assets), which detracted from performance versus the Lipper</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>competitors, who maintained leverage closer to the 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>% regulatory limit. On the positive side, approximately 13% of the portfolio was invested in high</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>yield, which aided performance as the sector performed well. Overweight positions in the automotive sector and a few special situation and distressed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credits also was additive.</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 or other conditions. These</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbol on New York Stock Exchange (&#147;NYSE&#148;)</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>
     <TD 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 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on Closing Market Price as of February 28, 2010 ($12.62)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.13%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.054</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.648</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Leverage as of February 28, 2010</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" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16%</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>The distribution is not constant and is subject to change.</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 total 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>borrowings, minus the sum of liabilities (other than borrowing representing financial leverage). For a discussion of leveraging techniques utilized by</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/10</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><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" 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" 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 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.62</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11.03</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.42%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.69</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.96</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13.38</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.53</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.78%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13.41</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.51</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 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="54%"></TD>
     <TD width="27%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/10</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/09</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>82%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>94%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/10</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/09</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BBB/Baa</FONT>&nbsp;</TD>
     <TD align=center>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10%</FONT>&nbsp;</TD>
     <TD align=center>&nbsp; &nbsp;<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB/Ba</FONT>&nbsp;</TD>
     <TD align=center>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41</FONT>&nbsp;</TD>
     <TD align=center>&nbsp; &nbsp;<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>57</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B</FONT>&nbsp;</TD>
     <TD align=center>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>44</FONT>&nbsp;</TD>
     <TD align=center>&nbsp; &nbsp;<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;5</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp; &#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 align=left>&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>Using the higher of Standard &amp; Poor&#146;s Corporation (&#147;S&amp;P&#146;s&#148;) or</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Moody&#146;s Investors Service, Inc. (&#147;Moody&#146;s&#148;) ratings.</FONT>&nbsp;</TD>
     <TD align=left>&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, 2010</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, 2010 </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc.</FONT></B></P>
<P align=left><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 investing primarily in a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>diversified portfolio of floating rate debt securities and instruments, including floating or variable rate loans, bonds, preferred securities (including convert-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ible preferred securities), notes or other debt securities or instruments that pay a floating rate of interest.</FONT><BR>
<BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No assurance can be given that the Fund&#146;s investment objective will be achieved.</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, 2010, the Fund returned 26.89% based on market price and 23.33% based on NAV. For the same period, the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closed-end Lipper Loan Participation Funds category posted an average return of 29.78% on a market price basis and 13.09% on a NAV basis. All returns</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reflect reinvestment of dividends. The Fund's premium to NAV, which widened during the period, accounts for the difference between performance based on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>price and performance based on NAV. During the period, 66% of the Fund&#146;s portfolio was invested in floating rate loan interests and about 30% in high</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>yield bonds, with a portion of the allocation in floating rate notes and a portion swapped to floating rate. Both categories outperformed floating rate loan</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interests during the six months, which benefited performance. The Fund&#146;s credit allocation has been biased towards lower-quality and nonrated credits,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which also aided results. On the other hand, the Fund maintained leverage in the low-teen range, which detracted from performance versus the Lipper com-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>petitors, who maintained leverage closer to the 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>% regulatory limit.</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 or other conditions. These</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbol on NYSE</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>
     <TD 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 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on Closing Market Price as of February 28, 2010 ($10.67)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.70%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0685</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.8220</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Leverage as of February 28, 2010</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" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17%</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>The distribution is not constant and is subject to change.</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 total 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 borrowings, minus the sum of liabilities (other than borrowings 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></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="41%"></TD>
     <TD width="17%"></TD>
     <TD width="11%"></TD>
     <TD width="10%"></TD>
     <TD width="12%"></TD>
     <TD width="6%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=left><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>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/10</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><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" 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" 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 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.67</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.80</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21.25%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.73</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.65</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.30</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.74</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17.85%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.36</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.74</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 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</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the Fund&#146;s corporate bond investments:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR></TABLE><BR>
<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" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/10</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/09</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>66%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Stocks</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>
     <TD 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" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/10</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/09</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BBB/Baa</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB/Ba</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC/Caa</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CC/Ca</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>D</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&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>Using the higher of S&amp;P&#146;s or Moody&#146;s ratings.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 5</FONT></P>
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<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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, 2010 </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc.</FONT></B></P>
<P align=left><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 capital as is consistent with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment in a diversified, leveraged portfolio consisting primarily of floating rate debt securities and instruments.</FONT><BR>
<BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No assurance can be given that the Fund&#146;s investment objective will be achieved.</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, 2010, the Fund returned 32.19% based on market price and 14.12% based on NAV. For the same period, the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closed-end Lipper Loan Participation Funds category posted an average return of 29.78% on a market price basis and 13.09% on a NAV basis. The per-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>formance of the Lipper category does not necessarily correlate to that of the Fund, as the Lipper group comprises both closed-end funds and unleveraged</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>continuously offered closed-end funds. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium by period end,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which accounts for the difference between performance based on price and performance based on NAV. During the period, slightly less than 20% of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund was invested in high yield bonds, which contributed positively to performance as high yield outperformed floating rate loan interests. Overweight</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>positions in the automobiles sector and a few special situation and distressed credits also helped results, as did an underweight in health care. On the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other hand, the Fund generally favored less economically sensitive sectors and higher-quality credits, which detracted from performance as these issues</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underperformed lower-rated issues and those sectors with greater economic sensitivity. In addition, the Fund maintained relatively conservative levels of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>leverage (at period end, 15% of the Fund&#146;s total managed assets), which was a detractor versus the Lipper competitors, who maintained leverage closer to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the 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>% regulatory limit.</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 or other conditions. These</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbol on NYSE</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>
     <TD 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 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on Closing Market Price as of February 28, 2010 ($15.64)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0815</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.9780</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Leverage as of February 28, 2010</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" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15%</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>The distribution is not constant and is subject to change.</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></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="35%"></TD>
     <TD width="22%"></TD>
     <TD width="11%"></TD>
     <TD width="9%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=left><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>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/10</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><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" 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" 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 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$15.64</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.26</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27.57%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$15.65</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.15</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.24</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.93</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.13%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.30</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.93</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>corporate bond investments:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR></TABLE><BR>
<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" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/10</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/09</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>
     <TD 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" 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" 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" 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 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/10</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/09</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BBB/Baa</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5%</FONT>&nbsp;</TD>
     <TD align=center>&nbsp; &nbsp;<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB/Ba</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC/Caa</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>D</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>
     <TD 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" 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" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&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>Using the higher of S&amp;P&#146;s or Moody&#146;s ratings.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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, 2010 </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust</FONT></B></P>
<P align=left><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>
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<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No assurance can be given that the Fund&#146;s investment objective will be achieved.</FONT><BR>
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<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, 2010, the Fund returned 14.21% based on market price and 12.73% based on NAV. For the same period, the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 21.84% on a market price basis and 18.08% on a NAV basis.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>All returns reflect reinvestment of dividends. The Fund's discount to NAV, which narrowed during the period, accounts for the difference between performance</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on price and performance based on NAV. The Fund&#146;s Lipper category is composed primarily of high yield funds. In addition to high yield bonds, the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund invests in high yield loans and investment-grade bonds, which hurt relative performance as these securities underperformed high yield. The Fund</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tended to favor sectors less exposed to the economy, the consumer and housing, which detracted from results given the period&#146;s strong market perform-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ance. Conversely, overweights in the automobiles sector and a number of special situation and distressed credits (including automobiles) helped. During the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period, the Fund tended to hold low cash balances, although the cash position at period end was 6%. Given the market&#146;s positive performance, this cash</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>balance negatively impacted performance.</FONT><BR>
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<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 or other conditions. These</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>views are not intended to be a forecast of future events and are no guarantee of future results.</FONT><BR>
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<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B></P>
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     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbol on NYSE</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>July 30, 2003</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on Closing Market Price as of February 28, 2010 ($15.64)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.37%</FONT>&nbsp;</TD></TR>
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     <TD 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 align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.070</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.840</FONT>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Leverage as of February 28, 2010</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" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2%</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 1, 2010. The Monthly Distribution per Share was increased to $0.075. 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.</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>
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<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>
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     <TD width="8%"></TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/10</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><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" 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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$15.64</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.09</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.00%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$15.68</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13.72</FONT>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16.38</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.95</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.57%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16.38</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.95</FONT>&nbsp;</TD></TR>
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     <TD colSpan=6 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>&nbsp;</TD></TR>
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     <TD colSpan=2 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s corporate bond and US government securities investments:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR></TABLE><BR>
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<TR>
     <TD width="54%"></TD>
     <TD width="27%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/10</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/09</FONT></B>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45%</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Government Sponsored</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD></TR>
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     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Agency Securities</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non-Agency Mortgage</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD></TR>
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     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Backed Securities</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign Agency Obligations</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Treasury Obligations</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/10</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/09</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AAA/Aaa</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BBB/Baa</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB/Ba</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC/Caa</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>C</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>D</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&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>Using the higher of S&amp;P&#146;s or Moody&#146;s ratings.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
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     <TD colSpan=3 align=left>&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>Includes U.S. Government Sponsored Agency securities and</FONT>&nbsp;</TD></TR>
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     <TD colSpan=3 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Treasury Obligations, which are deemed AAA/Aaa by the</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment advisor.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><BR>
<P align=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 7</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, 2010 </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund, Inc.</FONT></B></P>
<P align=left><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 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 senior collateralized corporate loans made by banks and other financial institutions.</FONT><BR>
<BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No assurance can be given that the Fund&#146;s investment objective will be achieved.</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, 2010, the Fund returned 7.97% based on NAV. For the same period, the closed-end Lipper Loan Participation</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds category posted an average return of 13.09% on a NAV basis. All returns reflect reinvestment of dividends. The Fund, through its investment in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC, maintained relatively conservative positioning (i.e., higher quality credits and loan structures) and no leverage, which hin-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>dered performance in the strong market of the past six months versus its Lipper competitors, many of which employ leverage. We believe this positioning is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prudent for the medium term. Overweight positions in the automobiles sector and a few special situation and distressed credits helped results, as did an</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underweight in health care. During the period, the Fund tended to hold low cash balances, although the cash position at period end was 8%. Given the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market&#146;s positive performance, this cash balance negatively impacted 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 or other conditions. These</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>
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     <TD width="14%"></TD></TR>
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     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>November 3, 1989</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield based on Net Asset Value as of February 28, 2010 ($7.54)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.94%</FONT>&nbsp;</TD></TR>
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     <TD 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 align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.028552</FONT>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.372196</FONT>&nbsp;</TD></TR>
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     <TD align=left>&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>The Fund is a continuously offered closed-end fund that does not trade on an exchange.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>Yield based on net asset value is calculated by dividing the current annualized distribution per share by the net asset value.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Past performance does not guarantee future results.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>The distribution is not constant and is subject to change.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><BR>
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     <TD width="30%"></TD>
     <TD width="28%"></TD>
     <TD width="11%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="7%"></TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><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>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/10</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><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" 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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.54</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.31%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.59</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.16</FONT>&nbsp;</TD></TR></TABLE><BR>
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<TR>
     <TD width="25%"></TD>
     <TD width="14%"></TD>
     <TD width="11%"></TD>
     <TD width="13%"></TD>
     <TD width="13%"></TD>
     <TD width="11%"></TD>
     <TD width="10%"></TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expense Example for Continuously Offered Closed-End Funds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beginning</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ending</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beginning</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ending</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses Paid</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>
     <TD align=left><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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>September 1, 2009&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;February 28, 2010&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;During the Period</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;&nbsp; </TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>September 1, 2009&nbsp;&nbsp; February 28, 2010 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" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund, Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,079.70</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.89</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,017.21</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.65</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=7 align=left>&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>Expenses are equal to the annualized expense ratio of 1.53%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left>&nbsp; &nbsp; &nbsp; &nbsp;<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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left>&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>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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left>&nbsp; &nbsp; &nbsp; &nbsp;<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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</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, 2010 </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund II, Inc.</FONT></B></P>
<P align=left><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 income and such preservation</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of capital as is consistent with investment in senior collateralized corporate loans made by banks and other financial institutions.</FONT><BR>
<BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No assurance can be given that the Fund&#146;s investment objective will be achieved.</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, 2010, the Fund returned 7.88% based on NAV. For the same period, the closed-end Lipper Loan Participation</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds category posted an average return of 13.09% on a NAV basis. All returns reflect reinvestment of dividends. The Fund, through its investment in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC, maintained relatively conservative positioning (i.e., higher quality credits and loan structures) and no leverage, which hin-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>dered performance in the strong market of the past six months versus its Lipper competitors, many of which employ leverage. We believe this positioning is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prudent for the medium term. Overweight positions in the automobiles sector and a few special situation and distressed credits helped results, as did an</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underweight in health care. During the period, the Fund tended to hold low cash balances, although the cash position at period-end was 8%. Given the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market&#146;s positive performance, this cash balance negatively impacted 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 or other conditions. These</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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="68%"></TD>
     <TD width="31%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>
     <TD 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 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield based on Net Asset Value as of February 28, 2010 ($8.17)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.80%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.030085</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.392179</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></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="30%"></TD>
     <TD width="28%"></TD>
     <TD width="11%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="7%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><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>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/10</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/09</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><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" 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" 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" 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" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.17</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.76</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.28%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.22</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.75</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="26%"></TD>
     <TD width="13%"></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 style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expense Example for Continuously Offered Closed-End Funds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beginning</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ending</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beginning</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ending</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses Paid</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Account Value</FONT></B>&nbsp;</TD>
     <TD 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>September 1, 2009&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; February 28, 2010</FONT></B>&nbsp;&nbsp; </TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>September 1, 2009&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;February 28, 2010</FONT></B>&nbsp;&nbsp; </TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund II, Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,078.80</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.61</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,016.51</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.35</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, 2010 9</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_11"></A>
<P align=left><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. However, these objectives cannot be achieved in all interest rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>environments.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may utilize leverage through borrowings or through entering into</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reverse repurchase agreements and dollar rolls. In general, the concept of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>leveraging is based on the premise that the cost of assets to be obtained</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>from leverage will be based on short-term interest rates, which normally will</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be lower than the income earned by each Fund on its longer-term portfolio</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments. To the extent that the total assets of each Fund (including the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets obtained from leverage) are invested in higher-yielding portfolio</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments, each Fund&#146;s shareholders will benefit from the incremental</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>net income.</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 shareholders in the form of dividends, and the value of these</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>portfolio holdings is reflected in the per share NAV. However, in order to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>benefit shareholders, the yield curve must be positively sloped; that is,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>short-term interest rates must be lower than long-term interest rates. If the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>yield curve becomes negatively sloped, meaning short-term interest rates</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exceed long-term interest rates, income to shareholders will be lower than if</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Funds 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 capitalization is $100 million</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and it borrows for an additional $30 million, creating a total value of $130</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>million available for investment in long-term securities. If prevailing short-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>term interest rates are 3% and long-term interest rates are 6%, the yield</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>curve has a strongly positive slope. In this case, the Fund pays borrowing</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>costs and interest expense on the $30 million of borrowings based on the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lower short-term interest rates. At the same time, the securities purchased</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the Fund with assets received from the borrowings earn the income</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on long-term interest rates. In this case, the borrowing costs and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest expense of the borrowings is significantly lower than the income</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>earned on the Fund&#146;s long-term investments, and therefore Common</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shareholders are the beneficiaries of the incremental net income.</FONT><BR>
<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 net income pickup will be</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reduced or eliminated completely. Furthermore, if prevailing short-term inter-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>est rates rise above long-term interest rates of 6%, the yield curve has a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>negative slope. In this case, the Fund pays interest expense on the higher</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>short-term interest rates whereas the Fund&#146;s total portfolio earns income</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on lower long-term interest rates.</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Furthermore, the value of the Funds&#146; 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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>factors 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 Funds&#146; borrowings 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>Funds&#146; NAV positively or negatively in addition to the impact on Fund</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>performance from leverage from borrowings discussed above.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The use of leverage may enhance opportunities for increased income to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Funds and shareholders, but as described above, it also creates risks</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as short- or long-term interest rates fluctuate. Leverage also will generally</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cause greater changes in the Funds&#146; NAV, market price and dividend rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>than a comparable portfolio without leverage. If the income derived from</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities purchased with assets received from leverage exceeds the cost</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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, each Fund&#146;s 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. Each Fund 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 at distressed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>values in order to comply with regulatory requirements applicable to the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>use of leverage or as required by the terms of leverage instruments which</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may cause a Fund to incur losses. The use of leverage may limit each</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s ability to invest in certain types of securities or use certain types</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of hedging strategies. Each Fund will incur expenses in connection with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the use of leverage, all of which are borne by common shareholders of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each Fund and may reduce income to 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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to borrow through their credit facility 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 their total managed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets. As of February 28, 2010, the Funds had outstanding leverage from</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrowings as a percentage of their total managed assets as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="46%"></TD>
     <TD width="53%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Percent of</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2%</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, 2010</FONT></P>
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<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Derivative Financial 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 swaps,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial futures contracts, foreign currency exchange contracts and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>options, as specified in Note 2 of the Notes to Financial Statements,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which constitute forms of economic leverage. Such instruments are used</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to obtain exposure to a market without owning or taking physical custody</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of securities or to hedge market, interest rate, credit, equity and/or foreign</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange 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 counterparty to the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transaction or 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 investment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>advisor&#146;s ability to accurately predict pertinent market movements, which</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cannot be assured. The use of derivative instruments may result in losses</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>greater than if they had not been used, may require the Funds to sell or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>purchase portfolio securities at inopportune times or for distressed values,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may limit the amount of appreciation the Funds can realize on an invest-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment or may cause the Funds to hold a security that they might otherwise</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sell. The Funds&#146; investments in these instruments are discussed in detail in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 administration fees, and other Fund</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expenses. The examples on the previous pages (which are based on a hypo-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>thetical investment of $1,000 invested on September 1, 2009 and held</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>through February 28, 2010) are intended to assist shareholders both in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>calculating expenses based on an investment in each Fund and in compar-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing 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 $1,000 and then multiply the result by the number corresponding</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to their Fund under the 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, 2010 11</FONT></P>
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<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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, 2010 (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="5%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>E*Trade Financial Corp. (a)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>163,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 262,430</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Common Stocks &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>262,430</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>L-3 Communications Corp., 5.88%, 1/15/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>301,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc., Series B, 9.75%, 12/17/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>309,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi International Holdings Unsecured, 12.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/06/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,923</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Materials Corp. of America, 7.00%, 2/15/20 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hexion Finance Escrow LLC, 8.88%, 2/01/18 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>261,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nalco Co., 8.25%, 5/15/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>266,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>528,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clean Harbors, Inc., 7.63%, 8/15/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>404,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Geo Group, Inc., 7.75%, 10/15/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>253,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>657,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Communications Equipment &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brocade Communications Systems, Inc., 6.88%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/15/20 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inmarsat Finance Plc, 7.38%, 12/01/17 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>589,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Escrow LLC, 8.25%, 11/15/15 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>698,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown Americas LLC, 7.63%, 5/15/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>291,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Owens-Brockway Glass Container, Inc., 7.38%, 5/15/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>289,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,278,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 2.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., 7.00%, 5/01/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,375</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,215,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FCE Bank Plc:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 1/16/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>809,804</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 1/15/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>66,721</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GMAC, Inc., 8.30%, 2/12/15 (b)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>857,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,949,119</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cincinnati Bell, Inc., 8.25%, 10/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PAETEC Holding Corp., 8.88%, 6/30/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100,624</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Corp., 8.38%, 5/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>640</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Windstream Corp., 7.88%, 11/01/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>733,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,034,549</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expro Finance Luxembourg SCA, 8.50%, 12/15/16 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>497,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B&amp;G Foods, Inc., 7.63%, 1/15/18</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>303,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bumble Bee Foods LLC, 7.75%, 12/15/15 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smithfield Foods, Inc., 10.00%, 7/15/14 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>801,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,314,575</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="65%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaVita, Inc., 6.63%, 3/15/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>405</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 406,013</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Health, Inc., 12.50%, 3/01/18 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>977,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels Restaurants &amp; Leisure &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Icahn Enterprises LP (b):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 1/15/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>352,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 1/15/18</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>705,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MGM Mirage, 11.13%, 11/15/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>259,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,316,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beazer Homes USA, Inc., 12.00%, 10/15/17 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>715</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>797,225</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Libbey Glass, Inc., 10.00%, 2/15/15 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>67,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SunGard Data Systems, Inc., 4.88%, 1/15/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>383</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>357,626</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 2.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (b)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,165</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,179,562</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Holdings Corp., 10.00%, 1/15/20 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>408,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc., 7.25%, 2/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,712,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,300,312</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 2.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cablevision Systems Corp., Series B, 8.00%, 4/15/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>710</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>748,162</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clear Channel Worldwide Holdings, Inc., 9.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,160</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,190,512</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DISH DBS Corp., 7.00%, 10/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>434,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Germany GmbH, 8.13%, 12/01/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,873,237</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NewPage Corp., 11.38%, 12/31/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,205</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,105,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Holdings LLC, 11.50%, 7/01/14 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,315,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Investment Trusts (REITs) &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Omega Healthcare Investors, Inc., 7.50%, 2/15/20 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>290</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>292,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JDA Software Group, Inc., 8.00%, 12/15/14 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>82</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>84,460</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Levi Strauss &amp; Co., 8.63%, 4/01/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>615,809</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 1.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc., 7.75%, 5/15/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,524,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#151; 21.4%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,827,723</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (c)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avio SpA:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B2, 2.36%, 12/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,030</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C2, 2.98%, 12/14/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,165</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawker Beechcraft Acquisition Co. LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Facility Deposit, 2.25%, 3/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,170</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.23% &#150; 2.25%, 3/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>393</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>289,435</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="32%"></TD>
     <TD width="6%"></TD>
     <TD width="20%"></TD>
     <TD width="14%"></TD>
     <TD width="25%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Abbreviations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>To simplify the listings of portfolio holdings in the</FONT>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>CAD</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canadian Dollar</FONT>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>TALF</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Asset-Backed Securities Loan Facility</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Schedules of Investments, the names and descriptions of</FONT>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>EUR</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>USD</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Dollar</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>many of the securities have been abbreviated according</FONT>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>GBP</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>British Pound</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the following list:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><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, 2010</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="65%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (c)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense (concluded)</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TASC, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 5.50%, 12/18/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>170</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 170,709</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 5.75%, 12/18/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>330</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>332,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>813,709</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 3.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group Holdings, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.73%, 10/17/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>324</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>314,463</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allison Transmission, Inc., Term Loan, 2.98% &#150; 3.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/07/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,160</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,978,226</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dana Holding Corp., Term Advance, 4.48% &#150; 6.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/30/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>563</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>548,176</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Exide Technologies Term Loan, 3.91%, 5/15/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>183,823</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lear Corp., Loan (Closing Date Loan &amp; Delayed</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Draw Loan), 7.50%, 11/09/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>759</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>760,974</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,785,662</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Automobiles &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Co., Tranche B-1 Term Loan, 3.24% &#150; 3.26%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>743</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>691,236</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 2.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Materials Corp. of America:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 6.00%, 9/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>738,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan Advance, 3.00%, 2/22/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>738</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>718,227</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goodman Global, Inc., Term Loan, 6.25%, 2/13/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,084</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,088,402</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 2.67%, 12/04/13</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>604,357</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,148,986</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nuveen Investments, Inc., Term Loan, 3.25% &#150; 3.32%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/13/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>523</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>455,141</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 6.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ashland Inc., Term B Borrowing, 7.65%, 5/13/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>493</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>498,714</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chemtura Corp. Debtor in Possession Return of Capital</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 6.00%, 1/26/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>853,719</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gentek Holding, LLC, Tranche B Term Loan, 7.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/29/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>502,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Huish Detergents Inc., Tranche B Term Loan, 2.01%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>234</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>224,915</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matrix Acquisition Corp. (fka MacDermid, Inc.), Tranche B</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.23%, 4/12/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,546</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,372,292</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nalco Co., Term Loan, 6.50%, 5/13/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,219</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,227,407</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PQ Corp. (fka Niagara Acquisition, Inc.), Original</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 3.48% &#150; 3.50%, 7/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,233</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,128,296</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rockwood Specialties Group, Inc., Term Loan H, 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>702,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia Inc., Loan, 7.25%, 2/28/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>732</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>741,370</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tronox Worldwide LLC, Tranche B-1 Term Loan, 9.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/24/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>820,960</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,072,273</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 3.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ARAMARK Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit, 2.11%, 1/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,085</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan, 2.13%, 1/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>798</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>761,571</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advanced Disposal Services, Inc., Term B Loan, 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/14/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alliance Laundry Systems LLC, Term Loan, 2.73%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/27/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>504,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Casella Waste Systems, Inc, Term B Loan, 7.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/09/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>561</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>564,758</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Johnson Diversey, Inc. Term Loan B, 5.50%, 11/24/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503,750</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="65%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (c)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies (concluded)</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synagro Technologies, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.23%, 4/02/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>982</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 866,121</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>West Corp., Incremental Term B-3 Loan, 7.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/24/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>747</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>754,023</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,404,527</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safway First Out Term Loan, 9.00%, 12/14/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Welding Services Term Loan B, 9.35%, 12/16/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>548</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550,878</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300,878</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#151; 1.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaimlerChrysler Financial Services Americas LLC,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 4.24%, 8/03/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,899</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,875,102</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 2.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Anchor Glass Term Loan B, 6.00%, 2/18/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>697,813</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Holding Corp., Term C Loan, 2.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/03/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>678</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>606,851</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graham Packaging Co., LP, B Term Loan, 2.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/07/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>683</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>673,872</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit Kappa Acquisitions (JSG):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B1, 3.77% &#150; 4.37%, 7/16/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>306</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>409,740</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>C1 Term Loan Facility, 4.00% &#150; 4.34%, 7/16/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>303</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>405,447</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,793,723</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#151; 2.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Laundry Corp., Delay Draw Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.23% &#150; 3.25%, 11/14/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>248</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>218,760</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Service Corp., Term Loan, 3.26%, 11/14/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,474</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,274,737</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Laureate Education Term Loan B, 7.00%, 8/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,976,895</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,470,392</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 2.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., Tranche 2A Term Loan, 9.50% &#150; 9.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/20/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>950</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>973,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Holdings Inc., US Term Loan, 6.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/05/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,710,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,683,781</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#151; 2.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cavtel Holdings, LLC, Term Loan, 10.50%, 12/31/12 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>224</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>191,630</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawaiian Telcom Communications, Inc., Tranche C</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>510</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>384,086</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.50%, 8/31/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>587</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>586,995</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 Communications Incremental Term Loan, 7.59%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/13/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>473,047</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Telepacific Corp. Second Lien Term Loan, 7.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/25/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>175</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>175,328</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wind Finance SL SA, Euro Facility (Second Lien), 7.67%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/17/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,356,190</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,167,276</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Baldor Electric Co., Term Loan, 5.25%, 1/31/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>539</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>539,322</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp;</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Components &#151; 2.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Flextronics International Ltd.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A Closing Date Loan, 2.48% &#150; 2.50%, 10/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>104</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>97,888</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.50%, 10/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>565</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>545,102</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>L-1 Identity Solutions Operating Co., Term Loan, 6.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/05/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>651</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>651,023</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matinvest 2 SAS/ Butterfly Wendel US, Inc. (Deutsche</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Connector):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B-2 Facility, 2.75% , 6/22/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>886</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>693,122</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>C-2 Facility, 3.00% , 6/22/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>732</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>572,698</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,559,833</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=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 13</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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="65%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (c)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp., Tranche D Term Loan, 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/21/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 489,710</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#151; 3.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AB Acquisitions UK Topco 2 Ltd. (fka Alliance Boots),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.54%, 7/09/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>682,987</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bolthouse Farms, Inc. Term Loan B, 3.75%, 2/04/16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pierre Foods Term Loan B, 8.50%, 9/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>473,812</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pilot Travel Centers Term Loan B, 3.50%, 11/18/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,004,636</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/10/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>932,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,593,835</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#151; 4.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CII Investment, LLC (fka Cloverhill), Term Loan B, 8.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/14/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,068</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,067,857</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dole Food Co., Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit-Linked Deposit, 7.89%, 4/12/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>127</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>127,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 3.50%, 2/10/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>441</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>441,397</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 5.50%, 2/10/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,059</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,059,353</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 8.00%, 4/12/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>222</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>221,599</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pilgrim&#146;s Pride Corp. Term Loan A, 5.29%, 12/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>443,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pinnacle Foods Finance LLC, Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 4/02/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,104,517</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solvest, Ltd. (Dole), Tranche C Term Loan, 8.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/12/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>719</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>718,984</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,184,382</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#151; 1.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Biomet, Inc., Dollar Term Loan, 3.23% &#150; 3.25%, 3/25/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,021</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>987,376</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.23%, 5/20/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>885</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>854,836</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hologic, Inc., Tranche B Term Loan, 3.50%, 3/29/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,341</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,876,553</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 4.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.50%, 7/25/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>82</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>76,796</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Term Loan, 2.48% &#150; 2.50%, 7/25/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,619</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,512,806</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaVita Inc., Tranche B-1 Term Loan, 1.73% &#150; 1.76%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/05/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fresenius SE:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B1 Term Loan, 6.75%, 9/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>590</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>592,752</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B2 Term Loan, 6.75%, 9/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>356</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>358,049</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA Inc., Tranche A-1 Term Loan, 1.75%, 11/16/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,117</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,999,143</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vanguard Health Systems Term Loan B, 5.00%, 1/29/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,201,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,936,371</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Healthcare Term Loan B, 5.25%, 2/16/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,305,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels Restaurants &amp; Leisure &#151; 5.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLB Worldwide Holdings, Inc. (Wembley, Inc.),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Priority Term Loan, 4.75%, 7/18/11 (a)(e)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>685,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cedar Fair LP Term Loan B, 4.00%, 2/04/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>748,829</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrah&#146;s Operating Co., Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-2 Loan, 3.25%, 1/28/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>656</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>529,466</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-4 Loan, 9.50%, 10/31/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>747,917</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.98% &#150; 2.00%, 10/03/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>936</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>916,960</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>QCE, LLC (Quiznos), Term Loan (Second Lien), 2.56%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/05/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>183</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>156,492</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SW Acquisitions Co., Inc., Term Loan, 5.75%, 6/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,004,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Six Flags Theme Parks, Inc. Term Loan, 4.50%, 6/13/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,733,812</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Project Loan, 4.76%, 5/25/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>151</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Project Loan, 4.76%, 5/27/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>266</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>253,457</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,919,808</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="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (c)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jarden Corp., Term Loan B3, 2.75%, 1/24/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>441</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 437,210</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Products &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>VI-JON, Inc. (VJCS Acquisition, Inc.), Tranche B</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.23%, 4/24/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>302</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>289,532</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#151; 4.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amadeus Global Travel Distribution SA:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.23%, 5/22/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>955</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>907,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 2.73%, 5/22/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>955</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>907,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ceridian Corp., US Term Loan, 3.23% &#150; 3.25%, 11/09/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>752</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>657,742</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.00%, 9/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,022</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>890,863</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.00%, 9/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>981</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>853,480</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Incremental Term Loan, 6.75%, 2/28/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,042</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,045,930</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,263,565</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 1.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dynegy Holdings Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Letter of Credit Facility Term Loan, 3.98%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/02/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>473,928</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 3.98%, 4/02/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,151</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.73% &#150; 3.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,462</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,169,414</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,681,493</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp., Term Loan, 3.51% &#150; 3.94%, 12/03/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,389</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,270,284</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alliant Holdings I, Inc., Term Loan, 3.25%, 8/21/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>732</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>690,687</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FTD Group, Inc., Tranche B Term Loan, 6.75%, 8/26/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>211</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>211,196</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 2.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accuride Term Loan, 10.00%, 1/31/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>460</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>459,042</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bucyrus International Term Loan C, 4.50%, 1/26/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LN Acquisition Corp. (Lincoln Industrial):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan (First Lien), 3.49%, 7/11/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>245</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225,727</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial US Term Loan (First Lien), 3.49%, 7/11/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>637</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>585,769</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Oshkosh Truck Corp., Term B Loan, 6.25% &#150; 6.26%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/06/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>872</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>870,942</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,146,780</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 22.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Catalina Marketing Corp., Initial Term Loan, 2.98%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>443</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>427,746</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc. (Thomson Learning),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,890</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,871,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cequel Communications, LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.25% &#150; 4.25%, 11/05/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>532</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503,975</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 6.25%, 5/05/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,016</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,017,837</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Charter Communications Operating, LLC, New Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.26%, 3/06/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,125</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,914,912</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FoxCo Acquisition Sub, LLC, Term Loan, 7.50%, 7/14/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>669</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>642,160</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Publishing Co. Ltd., Tranche A Term Loan, 5.23%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/12/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,016</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>855,046</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.50% &#150; 2.56%, 3/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>739</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>330,222</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harland Clarke Holdings Corp. (fka Clarke American</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corp.), Tranche B Term Loan, 2.73% &#150; 2.75%, 6/30/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>522</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>456,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Insight Midwest Holdings, LLC, B Term Loan, 2.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/07/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>480,078</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Corp. (fka PanAmSat Corp.):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-A Term Loan, 2.73%, 1/03/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>241</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>228,844</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-B Term Loan, 2.73%, 1/03/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>241</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>228,774</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-C Term Loan, 2.73%, 1/03/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>241</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>228,774</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, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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 (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="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (c)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media (concluded)</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lamar Media Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B Incremental Loan, 5.50% &#150; 5.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/28/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>382</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 379,472</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series E Incremental Loan, 5.50% &#150; 5.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/31/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>705</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>704,829</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 5.50% &#150; 5.75%, 9/28/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>942</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>935,401</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.34%, 6/28/15</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,010</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>942,428</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C1, 3.59%, 6/30/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,010</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>942,428</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Local TV Finance, LLC, Term Loan, 2.26%, 5/07/13</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>194,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MCC Iowa LLC (Mediacom Broadband Group),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche E Term Loan, 6.50%, 1/03/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,018</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,025,898</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Vision Exit Term Loan, 13.00%, 10/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>318</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>319,857</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Newsday, LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fixed Rate Term Loan, 10.50%, 8/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>801,562</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Term Loan, 6.50%, 8/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>501,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B Dollar Term Loan, 3.98%, 5/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,359</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,316,272</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar Term Loan, 2.23%, 8/09/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>246</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>231,713</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sinclair Television Group, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 10/29/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>502,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Springer Science+Business Media SA, Facility A1,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 7/01/16</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,480,346</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunshine Acquisition Ltd. (aka HIT Entertainment),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 2.50%, 3/20/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,751</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,539,233</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,387</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,390,920</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Financing Partnership, Facility U, 4.99%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/31/17</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,014,888</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Investment Holdings Ltd.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B7 Facility, 4.40%, 9/03/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>223</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>331,051</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>C Facility, 4.40%, 9/03/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>372</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>553,389</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>C Facility, 3.58%, 7/17/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>140</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>199,420</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Worldcolor Press Inc. and Worldcolor (USA) Corp.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(fka Quebecor World, Inc.), Advance, 9.00%, 7/23/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>798</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>805,629</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yell Group Plc TPI Term Loan A, 7.12%, 8/09/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>718,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,017,704</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FirstLight Power Resources, Inc. (fka NE Energy, Inc.):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 2.81%, 11/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,767</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Advance (First Lien), 2.75%, 11/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>355,912</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>388,679</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#151; 2.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp., Tranche B-1 Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.98% &#150; 3.00%, 7/07/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>781</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>757,236</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hema Holding BV, Facility D, 5.42%, 1/01/17</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,058,823</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Neiman Marcus Group Inc., Term Loan, 2.26%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/06/13</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>166,048</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,982,107</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Big West Oil, LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>442</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>433,618</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>352</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>344,924</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Advance Loan, 9.75%, 1/26/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>326,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,105,167</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgia-Pacific LLC, Term Loan B, 2.25% &#150; 2.26%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/23/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,161</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,133,860</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Personal Products &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Safety Razor Co., LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 6.51%, 1/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>292,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 2.75% &#150; 2.76%, 7/31/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>181,148</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revlon Consumer Products Corp., Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.25% &#150; 4.26%, 1/15/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>123,008</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>596,656</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="63%"></TD>
     <TD width="21%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (c)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#151; 1.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Co., LLC, Term A Loan, 5.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/30/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 644 $</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>643,907</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Corp., Term B-1 Loan, 5.75%, 4/30/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,299,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,943,782</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Booz Allen Hamilton, Inc., Tranche B Term Loan, 7.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/31/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>993,809</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term B Loan, 3.25%, 10/10/13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>524</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>461,773</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term B Loan, 3.25%, 10/10/13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>196</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>173,247</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic LC, 3.23%, 10/10/13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,644</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (Second Lien), 13.50%, 10/15/17</FONT>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>543,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,225,414</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Adesa, Inc. (KAR Holdings, Inc.), Initial Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.98%, 10/21/13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>326</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>314,082</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Nutrition Centers, Inc., Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.48% &#150; 2.57%, 9/16/13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>261,452</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.50% &#150; 2.56%, 10/31/13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>401</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>360,854</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 4.75% &#150; 4.81%, 7/31/16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>506</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>481,689</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,418,077</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hanesbrands Inc., New Term Loan, 5.25%, 12/10/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 2.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel International Finance Ltd., Tranche A, 2.81%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/30/12</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,579</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,519,967</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetroPCS Wireless, Inc., Tranche B Term Loan, 2.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/03/13</FONT>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,219,301</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,739,268</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Floating Rate Loan Interests &#151; 99.7%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120,106,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beneficial</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Interests (f)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi Debtor in Possession Holding Co. LLP, Class B</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Membership Interests</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;(g)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,067,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Other Interests &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,067,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $146,018,527) &#151; 122.2%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>147,264,593</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund, Institutional</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class, 0.09% (h)(i)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,618,127</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,618,127</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $2,618,127) &#151; 2.2%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,618,127</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments (Cost &#151; $148,636,654*) &#151; 124.4%</FONT></B>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>149,882,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#151; (24.4)%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(29,374,669)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$120,508,051</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The cost and unrealized appreciation (depreciation) of investments as of</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; February 28, 2010, as computed for federal income tax purposes, were as follows:</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$148,636,654</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,177,491</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,931,425)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,246,066</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, 2010 15</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded) </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="3%"></TD>
     <TD width="8%"></TD>
     <TD width="13%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD>
     <TD width="19%"></TD>
     <TD width="19%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a) Non-income producing security.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) Variable rate security. Rate shown is as of report date.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Represents a payment-in-kind security which may pay interest /dividend in addi-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tional par/shares.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=7 align=left><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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Other interests represent beneficial interest in liquidation trusts and other reorgani-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>zation entities and are non-income producing.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Amount is less than $1,000.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=7 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,618,127</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,405</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) Represents the current yield as of report date.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of February 28, 2010 were as follows:</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><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" 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" colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date (Depreciation)</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11,196,400&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;EUR</FONT></TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,798,500</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/24/10 $</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>578,030</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>810,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,271,847</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/21/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(36,487)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>186,561</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>119,500</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/21/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,420</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 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;&nbsp;&nbsp; 2,967,636</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,833,000</FONT>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Services, Inc.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4/21/10</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>173,787</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 719,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD colSpan=7 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or rating group indexes, and/or as defined by Fund management.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><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 such</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>industry sub-classifications for reporting ease.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="2%"></TD>
     <TD width="4%"></TD>
     <TD width="16%"></TD>
     <TD width="24%"></TD>
     <TD width="14%"></TD>
     <TD width="6%"></TD>
     <TD width="13%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fair Value Measurements &#151; Various inputs are used in determining the fair value of</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments, which are as follows:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#151; price quotations inactive markets/exchanges for identical assets</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and liabilities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,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 for</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar assets or liabilities in markets that are active, quoted prices for identical or</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar assets or liabilities in markets that are not active, inputs other than quoted</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prices that are observable for the assets or liabilities (such as interest rates, yield</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>curves, volatilities, prepayment speeds, loss severities, credit risks and default</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates) or other market-corroborated inputs)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstances, to the extent observable inputs are not available (including the</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s own assumptions used in determining the face value of investments)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodologies used for valuing securities are not necessarily an indica-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>policies, please refer to the Note 1 of the Notes to Financial Statements.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of February 28, 2010 in deter-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mining the fair valuation of the Fund&#146;s investments:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right>&nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets:</FONT>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term</FONT>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Stocks</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 262,430</FONT>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151; $</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>262,430</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$ 25,814,800</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12,923</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,827,723</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan Interests</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100,198,281</FONT>&nbsp;</TD>
     <TD colSpan=3 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,908,439&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120,106,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>
     <TD 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>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,067,720</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,067,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Short-Term</FONT>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,618,127</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,618,127</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 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 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,880,557&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$126,013,081</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=3 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$20,989,082&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $149,882,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Financial Instruments</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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right>&nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets</FONT>&nbsp;</TD>
     <TD 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>&#151;&nbsp;</FONT></TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$756,237</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,410 $</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>763,647</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Liabilities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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>&#151;</FONT>&nbsp; </TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(36,487)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16,408)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(52,895)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 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" 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>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$719,750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (8,998) $</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>710,752</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD colSpan=6 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other financial instruments are foreign currency exchange contracts and</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=6 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unfunded loan commitments, which are shown at the unrealized appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depreciation on the instrument.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="46%"></TD>
     <TD width="26%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other</FONT></B>&nbsp;</TD>
     <TD align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2009</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$24,495,356</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$24,495,356</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized gain (loss)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295,974</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295,974</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (70)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,033,712</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,033,642</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net purchases (sales)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,905,004)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,905,004)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net transfers in/out of Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,993</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,011,599)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,067,720</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,930,886)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance, as of February 28, 2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12,923</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$19,908,439</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,067,720</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$20,989,082</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=left><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>Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in unrealized appreciation/depreciation on securities</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>still held at February 28, 2010 was $859,867.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 other financial instruments for which significant</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unobservable inputs were used to determine fair value:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>3</FONT></SUP></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2009</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 60,517</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized gain (loss)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net purchases (sales)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net transfers in/out of Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(53,107)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (16,408)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance as of February 28, 2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,410</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (16,408)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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>Other financial instruments are unfunded loan commitments.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>16 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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 </FONT><FONT color=#005595 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>February 28, 2010 (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>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="63%"></TD>
     <TD width="7%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2005-8A, Class D, 14.80%, 6/15/41 (a)(b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 513,243</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Asset-Backed Securities &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>513,243</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common Stocks (c)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Masonite Worldwide Holdings</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,955</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>880,110</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>E*Trade Financial Corp.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>230,230</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia, Inc.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>403</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70,753</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nortek, Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,570</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>58,090</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Medis Technologies Ltd.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,505</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels Restaurants &amp; Leisure &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Buffets Restaurants Holdings, Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>688</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,887</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd.</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>311,678</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>654,636</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd. (b)</FONT>&nbsp;</TD>
     <TD colSpan=2 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>734,669</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,389,305</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euramax International</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>468</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TiVo, Inc.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>199,080</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>213,105</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Common Stocks &#151; 2.3%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,857,985</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc., Series B, 9.75%, 12/17/16</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>309,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>United Air Lines, Inc., 12.75%, 7/15/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>318,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>627,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi International Holdings Unsecured, 12.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/06/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,923</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 2.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Materials Corp. of America, 7.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/15/20 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CPG International I, Inc., 7.18%, 7/01/12 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,375,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>406,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,181,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>E*Trade Financial Corp., 3.95%, 8/31/19 (b)(d)(e)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>83</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>126,160</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Co., LLC, 10.63%, 1/15/16 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>649</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>390,211</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (b)(f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>276</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>60,961</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco, LLC, 14.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/15/18 (b)(f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>183</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,796</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MU Finance Plc, 8.75%, 2/01/17 (b)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>213</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>909,553</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="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hexion Finance Escrow LLC, 8.88%, 2/01/18 (b)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 280,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc. (e):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Subordinate Note, 10.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/29/19 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>894</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>894,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Third Lien Subordinate Note, 5.00%, 1/29/19 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>286</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143,190</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,317,690</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Glitnir Banki HF (c)(g):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.07%, 1/27/10</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35,403</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.15%, 4/20/10 (b)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.00%, 6/30/10</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41,667</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.38%, 9/25/12 (b)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>365</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>94,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>188,870</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clean Harbors, Inc., 7.63%, 8/15/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>404,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Geo Group, Inc., 7.75%, 10/15/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>253,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>657,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Communications Equipment &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brocade Communications Systems, Inc., 6.88%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/15/20 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nortek, Inc., 11.00%, 12/01/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>639</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>670,505</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Acceptance Corp., 9.13%, 2/01/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>179,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Credit Co. LLC, 3.00%, 1/13/12 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>815</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>764,062</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inmarsat Finance Plc, 7.38%, 12/01/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>615,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,558,162</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 1.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beverage Packaging Holdings Luxembourg II SA, 8.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/16</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240,571</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit Kappa Acquisitions (b):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 11/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>333,606</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 11/15/19</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325,163</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit Kappa Funding Plc, 7.75%, 4/01/15 (h)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>970,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solo Cup Co., 10.50%, 11/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>130</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>136,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,005,515</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 2.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., 7.00%, 5/01/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,455</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,285,856</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FCE Bank Plc, 7.13%, 1/16/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>539,869</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GMAC Inc., 5.38%, 6/06/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>146,038</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GMAC LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 3/02/11</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,324</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 9/15/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 12/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>382,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.30%, 2/12/15 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>405,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Issuer, Inc., 7.75%, 10/15/16 (b)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>271,653</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,338,790</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cincinnati Bell, Inc., 8.25%, 10/15/17</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PAETEC Holding Corp., 8.88%, 6/30/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Corp., 8.38%, 5/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>547,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Windstream Corp., 7.88%, 11/01/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>977,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,125,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expro Finance Luxembourg SCA, 8.50%, 12/15/16 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>746,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Duane Reade, Inc., 11.75%, 8/01/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>80</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100,800</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=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 17</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B&amp;G Foods, Inc., 7.63%, 1/15/18</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 303,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bumble Bee Foods LLC, 7.75%, 12/15/15 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smithfield Foods, Inc., 10.00%, 7/15/14 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>640</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>692,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,216,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vanguard Health Holding Co. II LLC, 8.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/01/18 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>455</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>447,037</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Health, Inc., 12.50%, 3/01/18 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>890</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,023,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels Restaurants &amp; Leisure &#151; 2.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Icahn Enterprises LP (b):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 1/15/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>470,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 1/15/18</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>940,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Little Traverse Bay Bands of Odawa Indians, 10.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/15/14 (b)(c)(g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>202,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MGM Mirage, 11.13%, 11/15/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>390</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>421,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shingle Springs Tribal Gaming Authority, 9.38%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/15/15 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>95</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Snoqualmie Entertainment Authority, 4.14%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/01/14 (a)(b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>305</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>207,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Travelport LLC, 4.88%, 9/01/14 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>810</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>753,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tropicana Entertainment LLC, Series WI, 9.63%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/14 (c)(g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,069,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beazer Homes USA, Inc., 12.00%, 10/15/17 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>557,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Libbey Glass, Inc., 10.00%, 2/15/15 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>67,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alliance Data Systems Corp., 1.75%, 8/01/13 (e)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>370</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>342,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SunGard Data Systems, Inc., 4.88%, 1/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>512,629</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>854,879</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 2.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AES Eastern Energy LP, Series 99-B, 9.67%, 1/02/29</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Calpine Construction Finance Co. LP, 8.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/01/16 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,215,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Holdings Corp., 10.00%, 1/15/20 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>408,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc., 7.25%, 2/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,260</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,269,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,217,575</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#151; 1.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp. (b):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.75%, 12/01/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>720</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>705,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13.50%, 12/01/15 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,322</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,324,873</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,030,473</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USI Holdings Corp., 4.13%, 11/15/14 (a)(b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>490</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>405,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Leisure Equipment &amp; Products &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brunswick Corp., 11.25%, 11/01/16 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>370</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>411,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 1.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ESCO Corp., 4.13%, 12/15/13 (a)(b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>920</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>814,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RBS Global, Inc., 8.88%, 9/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>505</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>457,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Titan International, Inc., 8.00%, 1/15/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>457,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,728,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Marine &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navios Maritime Holdings, Inc., 8.88%, 11/01/17 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>260</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>264,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 5.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group, Inc., 10.13%, 10/15/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>820</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>828,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CSC Holdings, Inc., 8.50%, 4/15/14 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>189,225</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canadian Satellite Radio Holdings, Inc., 12.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800,000</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="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media (concluded)</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clear Channel Worldwide Holdings, Inc., 9.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/17 (b)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,218</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,250,040</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DISH DBS Corp., 7.00%, 10/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>383,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Seat Pagine Gialle SpA, 10.50%, 1/31/17</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>434</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>547,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>364,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Germany GmbH, 8.13%, 12/01/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Secured Finance Plc, 6.50%, 1/15/18 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>246,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,608,703</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aleris International, Inc. (c)(g):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 12/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>370</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 12/15/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RathGibson, Inc., 11.25%, 2/15/14 (c)(g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,390</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>446,538</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ryerson, Inc., 7.62%, 11/01/14 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,075</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>959,437</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,417,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp., 11.88%, 7/15/17 (f)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>215</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>249,937</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>OPTI Canada, Inc., 9.00%, 12/15/12 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>305,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 2.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>686</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>510,897</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clearwater Paper Corp., 10.63%, 6/15/16 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NewPage Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 5/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>316,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.38%, 12/31/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,070</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,976,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Holdings LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.50%, 7/01/14 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>160</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>168,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.00%, 8/01/14 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>455</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>367,413</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,550,310</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Angiotech Pharmaceuticals, Inc., 4.00%, 12/01/13 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>305</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>247,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Elan Corp. Plc, 8.75%, 10/15/16 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>286,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Novasep Holding SAS, 9.63%, 12/15/16</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>137</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>172,556</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>705,756</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Investment Trusts (REITs) &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Omega Healthcare Investors, Inc., 7.50%, 2/15/20 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>310</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>313,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Spansion, Inc., 3.79%, 6/01/13 (b)(c)(g)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>830</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>821,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BMS Holdings, Inc., 7.89%, 2/15/12 (b)(f)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>488</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,759</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>United Auto Group, Inc., 7.75%, 12/15/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>355</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>338,581</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 2.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc., 7.75%, 5/15/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,016,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel Group Ltd., 9.13%, 1/15/15 (b)(f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,129</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iPCS, Inc., 2.37%, 5/01/13 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>184,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Orascom Telecom Finance SCA, 7.88%, 2/08/14 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>286,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,587,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#151; 39.1%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,693,243</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (a)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawker Beechcraft Term Loan B, 10.50%, 3/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>113,855</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TASC, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 5.50%, 12/18/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>340</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>341,417</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 5.75%, 12/18/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>660</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>664,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,119,672</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, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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="64%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (a)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group Holdings, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.73%, 10/17/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 315,412</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allison Transmission, Inc., Term Loan, 2.98% &#150; 3.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/07/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,920</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,758,055</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dana Holding Corp., Term Advance, 4.48% &#150; 6.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/30/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>622</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>606,296</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Exide Technologies Term Loan, 3.91%, 5/15/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>183,824</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lear Corp., Loan (Closing Date Loan &amp; Delayed</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Draw Loan), 7.50%, 11/09/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>703</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>704,584</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,568,171</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Automobiles &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Co., Tranche B-1 Term Loan, 3.24% &#150; 3.26%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,218</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,134,833</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beverages &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Culligan International Co., Loan (Second Lien), 5.18%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/24/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>281,409</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Materials Corp. of America:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 6.00%, 9/15/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>738,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan Advance, 3.00%, 2/22/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>748</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>728,487</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goodman Global, Inc., Term Loan, 6.25%, 2/13/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,172</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,176,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,643,137</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 4.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ashland Inc., Term B Borrowing, 7.65%, 5/13/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>274</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>277,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chemtura Corp. Debtor in Possession Return of Capital</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 6.00%, 1/26/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>803,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.25%, 5/31/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>218,878</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gentek Holding, LLC, Tranche B Term Loan, 7.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/29/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>402,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Huish Detergents Inc., Tranche B Term Loan, 2.01%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>241</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>231,038</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matrix Acquisition Corp. (MacDermid, Inc.),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C Term Loan, 2.63%, 12/15/13</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>248</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275,385</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nalco Co., Term Loan, 6.50%, 5/13/16</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>622</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>626,228</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PQ Corp. (fka Niagara Acquisition, Inc.), Original</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 3.48% &#150; 3.50%, 7/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>493</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450,638</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rockwood Specialties Group, Inc., Term Loan H, 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>725</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>727,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia Inc., Loan, 7.25%, 2/28/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>734</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>743,232</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tronox Worldwide LLC, Tranche B-1 Term Loan, 9.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/24/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>820,960</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,576,097</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 2.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ARAMARK Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LC Facility Letter of Credit, 2.11%, 1/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,004</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan, 2.13%, 1/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>590</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>562,670</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advanced Disposal Services, Inc., Term B Loan, 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/14/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Casella Waste Systems, Inc, Term B Loan, 7.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/09/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>398</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400,488</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Johnson Diversey, Inc. Term Loan B, 5.50%, 11/24/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>428,187</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.23%, 4/02/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>721</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>635,947</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>West Corp., Incremental Term B-3 Loan, 7.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/24/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,005,524</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,569,820</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safway First Out Term Loan, 9.00%, 12/14/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Welding Services Term Loan B, 9.35%, 12/16/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>747</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>751,197</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,551,197</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="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (a)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaimlerChrysler Financial Services Americas LLC,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 4.24%, 8/03/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,944,701</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 1.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Anchor Glass Term Loan B, 6.00%, 2/18/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>675</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>668,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Holding Corp., Term C Loan, 2.25%, 4/03/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>579</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>517,608</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graham Packaging Co., LP, B Term Loan, 2.50%, 10/07/11</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>432</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>426,510</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,612,368</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#151; 2.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Service Corp., Term Loan, 3.25%, 11/14/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,719</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,487,193</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Laureate Education Term Loan B, 7.00%, 8/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,146</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,126,153</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,613,346</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., Tranche 2A Term Loan, 9.50% &#150; 9.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/20/12 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>890</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>911,694</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Holdings Inc., US Term Loan, 6.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/05/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>603,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,515,444</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#151; 2.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cavtel Holdings, LLC, Term Loan, 10.50%, 12/31/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>323</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>276,798</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawaiian Telcom Communications, Inc., Tranche C</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,531</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,152,257</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.50%, 8/31/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>546</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>545,459</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 Communications Incremental Term Loan, 7.59%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/13/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495,573</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Telepacific Corp. Second Lien Term Loan, 7.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/25/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225,422</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,695,509</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electrical Equipment &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Baldor Electric Co., Term Loan, 5.25%, 1/31/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>711</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>712,341</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp., Tranche D Term Loan, 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/03/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>547</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>537,026</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#151; 3.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AB Acquisitions UK Topco 2 Ltd. (fka Alliance Boots),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.54%, 7/09/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,024,480</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bolthouse Farms, Inc. Term Loan B, 3.75%, 2/04/16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pierre Foods Term Loan B, 8.50%, 9/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>304</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>303,240</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pilot Travel Centers Term Loan B, 3.50%, 11/18/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,506,954</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/10/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>932,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SUPERVALU Inc., Term B Advance, 1.48%, 6/02/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>331</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>321,020</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,638,094</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#151; 3.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CII Investment, LLC (fka Cloverhill), Term Loan B, 8.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/14/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>904</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>903,571</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dole Food Co., Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit-Linked Deposit, 7.89%, 4/12/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>86</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>86,311</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 3.50%, 2/10/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>441</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>441,397</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 5.50%, 2/10/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,059</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,059,353</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 8.00%, 4/12/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150,099</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pilgrim's Pride Corp. Term Loan A, 5.29%, 12/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>492,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pinnacle Foods Finance LLC, Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 4/02/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,204,928</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solvest, Ltd. (Dole), Tranche C Term Loan, 8.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/12/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>487</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>487,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,825,159</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Biomet, Inc., Dollar Term Loan, 3.23% &#150; 3.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/25/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>672</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>649,587</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.23%, 5/20/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>664</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>641,127</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hologic, Inc., Tranche B Term Loan, 3.50%, 3/29/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,341</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,325,055</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, 2010 19</FONT></P>
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<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="62%"></TD>
     <TD width="8%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (a)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 4.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCS Medical, Inc. (Chronic Care), Loan (Debtor in</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Possession), 13.00%, 3/31/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 31,247</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.50%, 7/25/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>97</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>90,610</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Term Loan, 2.48% -2.50%, 7/25/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,894</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,769,921</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaVita Inc., Tranche B-1 Term Loan, 1.73% &#150; 1.76%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/05/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>292,988</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fresenius SE:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B1 Term Loan, 6.75%, 9/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>99</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>99,832</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B2 Term Loan, 6.75%, 9/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69,658</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A-1 Term Loan, 1.75%, 11/16/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,482</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,399,840</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 2.50%, 11/18/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>387</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>367,453</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vanguard Health Systems Term Loan B, 5.00%, 1/29/16</FONT>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,001,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,122,799</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Healthcare Term Loan B, 5.25%, 2/16/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,204,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels Restaurants &amp; Leisure &#151; 5.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cedar Fair LP Term Loan B, 4.00%, 2/04/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>748,828</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Green Valley Ranch Gaming, LLC, Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.50%, 8/16/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrah's Operating Co., Inc., Term B-4 Loan, 9.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/31/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,495,833</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lake at Las Vegas Joint Venture / LLV-1, LLC (c)(g):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mezzanine, 20.00%, 10/01/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.35%, 6/20/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,204</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 14.35%, 6/20/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,312</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,114</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>QCE, LLC (Quiznos), Term Loan (Second Lien), 2.56%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/05/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>172</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>147,062</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SW Acquisitions Co., Inc., Term Loan, 5.75%, 6/01/16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,004,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Six Flags Theme Parks, Inc. Term Loan, 4.50%, 6/13/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,733,812</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Universal City Development Term Loan B, 7.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/06/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>754,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Project Loan, 4.76%, 5/25/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>60,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Project Loan, 4.76%, 5/27/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>458</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>436,016</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,445,013</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Residential Services LLC, Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Second Lien), 12.00%, 4/17/15 (f)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,030</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>991,654</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#151; 3.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Audio Visual Services Group, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien) 5.76%, 8/28/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>539</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,852</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan (First Lien), 2.51%, 2/28/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>746</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>522,328</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ceridian Corp., US Term Loan, 3.23% &#150; 3.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/09/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>989</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>864,426</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.00%, 9/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,123</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,851,073</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.00%, 9/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>104,942</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Incremental Term Loan, 6.75%, 2/28/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>497</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>499,222</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B US Term Loan, 3.86% &#150; 3.87%, 2/28/16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>323</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>314,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,210,281</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 1.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dynegy Holdings Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Letter of Credit Facility Term Loan, 3.98%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/02/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>694</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>677,261</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 3.98%, 4/02/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54,519</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan, 3.73% &#150; 3.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,097</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>881,518</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.73% &#150; 3.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>231</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185,477</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,798,775</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="65%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (a)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp., Term Loan, 3.51% -3.94%, 12/03/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>522</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 477,602</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alliant Holdings I, Inc., Term Loan, 3.25%, 8/21/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>489</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>461,258</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Internet &amp; Catalog Retail &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FTD Group, Inc., Tranche B Term Loan, 6.75%, 8/26/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>422</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>422,391</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 1.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accuride Term Loan, 10.00%, 1/31/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>460</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>459,042</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bucyrus International Term Loan C, 4.50%, 1/26/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Oshkosh Truck Corp., Term B Loan, 6.25% &#150; 6.26%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/06/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>999</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>998,059</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,462,401</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 18.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group Holdings, Inc., Loan, 7.89%, 3/01/12 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>864</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>816,416</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc. (Thomson Learning),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,495</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,480,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cequel Communications, LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.25% &#150; 4.25%, 11/05/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>283</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>267,988</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, (Second Lien)4.75%, 5/05/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,948,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Charter Communications Operating, LLC, New Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.23%, 3/06/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,200</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,984,870</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EB Sports Corp., Loan, 11.50%, 5/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>428</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>397,803</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ellis Communications KDOC, LLC, Loan, 10.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/30/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,939</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>543,007</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Publishing Co. Ltd.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mezzanine, 17.50%, 11/14/14 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>252</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,102</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 5.23%, 6/12/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>672,786</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.50% &#150; 2.56%, 3/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>744</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>332,449</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Insight Midwest Holdings, LLC, B Term Loan, 2.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/07/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>456,074</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Corp. (fka PanAmSat Corp.):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-A Term Loan, 2.73%, 1/03/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>166</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>158,061</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-B Term Loan, 2.73%, 1/03/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>166</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>158,013</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-C Term Loan, 2.73%, 1/03/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>166</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>158,013</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lamar Media Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B Incremental Loan, 5.50% &#150; 5.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/28/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>540</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>535,725</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series E Incremental Loan, 5.50% &#150; 5.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/31/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>235</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>234,943</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 5.50% &#150; 5.75%, 9/28/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,155</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,146,516</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.34%, 6/30/15</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>337</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>314,143</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mediacom Illinois, LLC (fka Mediacom</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Communications, LLC), Tranche D Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 3/31/17</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>499</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>498,122</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,137,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B Dollar Term Loan, 3.98%, 5/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,028</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>995,348</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar Term Loan, 2.23%, 8/09/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>590</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>555,627</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Penton Media, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 9.25%, 2/01/14 (c)(g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>133,333</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 2.48% &#150; 2.50%, 2/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>973</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>709,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sinclair Television Group, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 10/29/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>753,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Springer Science+Business Media SA, Facility A1,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 7/01/16</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,345,769</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunshine Acquisition Ltd. (aka HIT Entertainment),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 2.50%, 3/20/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>825</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>725,313</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>494</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>494,980</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>United Pan Europe Communications, Term Loan, 3.93%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/30/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>972,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Investment Holdings Ltd., C Facility, 3.58%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/17/13</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>570</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>811,923</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, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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 (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="65%"></TD>
     <TD width="5%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (a)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media (concluded)</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Worldcolor Press Inc. and Worldcolor (USA) Corp.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(fka Quebecor World, Inc.), Advance, 9.00%, 7/23/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>349</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 352,771</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yell Group Plc TPI Term Loan A, 7.12%, 8/09/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>718,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,840,595</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#151; 1.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euramax International, Inc., Domestic Term Loan:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 6/29/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>643</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>521,067</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.00%, 6/29/13 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>659</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>533,769</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RathGibson, Inc., Loan (Debtor in Possession), 10.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/30/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,148</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,147,507</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,202,343</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FirstLight Power Resources, Inc. (fka NE Energy, Inc:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 2.81%, 11/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,597</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Advance (First Lien), 2.75%, 11/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>496</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>462,685</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>505,282</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#151; 1.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp., Tranche B-2 Term Loan, 2.98%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/07/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>640</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>615,941</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hema Holding BV, Facility D, 5.42%, 1/01/17</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,601,307</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Neiman Marcus Group Inc., Term Loan, 2.26%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/06/13</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>175,024</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,392,272</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#151; 1.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Big West Oil, LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>363</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>355,418</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>288</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>282,559</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Advance Loan, 9.75%, 1/26/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>326,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,760</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,320,358</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,284,960</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgia-Pacific LLC, Term Loan B, 2.25% &#150; 2.26%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/23/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>738</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>721,118</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Safety Razor Co., LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 6.51%, 1/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 2.75% &#150; 2.76%, 7/31/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>203,777</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revlon Consumer Products Corp., Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.25% &#150; 4.26%, 1/15/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>147,610</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>541,512</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#151; 1.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Co., LLC, Term A Loan, 5.50%, 10/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>542</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>542,237</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Corp., Term B-1 Loan, 5.75%, 4/30/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,153</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,152,279</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,694,516</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Booz Allen Hamilton, Inc., Term Loan C, 6.00%, 7/31/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,003,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term B Loan, 3.25%, 10/10/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>549</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>483,763</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term B Loan, 3.25%, 10/10/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>196</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>173,247</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 3.23%, 10/10/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,643</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (Second Lien), 13.50%, 10/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>543,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,247,403</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.50% &#150; 2.56%, 10/31/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>252,095</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 4.75% &#150; 4.81%, 7/31/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>516</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>491,915</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>744,010</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hanesbrands Inc., New Term Loan, 5.25%, 12/10/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>403,000</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="63%"></TD>
     <TD width="16%"></TD>
     <TD width="19%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (a)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel International Finance Ltd., Tranche A, 2.81%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/30/12</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 175</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 168,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetroPCS Wireless, Inc., Tranche B Term Loan, 2.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/03/13</FONT>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>720,716</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>889,154</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Floating Rate Loan Interests &#151; 82.7%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>104,929,643</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beneficial</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Interests (i)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi Debtor in Possession Holding Co. LLP, Class B</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Membership Interests</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;(j)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,067,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intermet Liquidating Trust, Class A</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>417</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,477</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,189,197</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J.G. Wentworth LLC Preferred Equity Interests</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;(j)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>573,521</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels Restaurants &amp; Leisure &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Buffets, Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>360</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Stanley Martin, Class B Memebership Units</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Other Interests &#151; 1.7%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,137,754</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels Restaurants &amp; Leisure &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Buffets Restaurants Holdings, Inc. (expires 4/29/14)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>304</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Turbo Cayman Ltd. (no expiration)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $180,489,619) &#151; 126.2%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>160,131,871</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund, Institutional</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class 0.09% (l)(m)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,615,121</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,615,121</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $1,615,121) &#151; 1.3%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,615,121</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Call Options &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco LLC,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Strike Price $942.86, Expires 12/21/19,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Goldman Sachs Bank USA</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,470</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Purchased (Cost &#151; $12,711) &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,470</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments (Cost &#151; $182,117,451*) &#151; 127.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>161,749,462</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#151; (27.5)%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(34,852,999)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$126,896,463</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, 2010 21</FONT></P>
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<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B></P>
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     <TD colSpan=10 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The cost and unrealized appreciation (depreciation) of investments as of</FONT>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD colSpan=9 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2010, as computed for federal income tax purposes, were as follows:</FONT>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$182,793,594</FONT>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>
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     <TD align=left>&nbsp;</TD>
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     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,887,935</FONT>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(25,868,167)</FONT>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized depreciation</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (20,980,232)</FONT>&nbsp;</TD></TR>
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     <TD colSpan=8 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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
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     <TD colSpan=10 align=left><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>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD colSpan=9 align=left><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>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT>&nbsp;</TD>
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     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) Non-income producing security.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
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     <TD colSpan=10 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Represents a zero-coupon bond. Rate shown reflects the current yield as of</FONT>&nbsp;</TD></TR>
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     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>report date.</FONT>&nbsp;</TD>
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     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Convertible security.</FONT>&nbsp;</TD>
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     <TD colSpan=10 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Represents a payment-in-kind security which may pay interest/dividends in</FONT>&nbsp;</TD></TR>
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     <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional face/shares.</FONT>&nbsp;</TD>
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     <TD colSpan=9 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Issuer filed for bankruptcy and/or is in default of interest payments.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
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     <TD colSpan=10 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) All or a portion of security has been pledged as collateral in connection with swaps.</FONT>&nbsp;</TD></TR>
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     <TD colSpan=10 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) Other interests represent beneficial interest in liquidation trusts and other reorgani-</FONT>&nbsp;</TD></TR>
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     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>zation entities and are non-income producing.</FONT>&nbsp;</TD>
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     <TD colSpan=6 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(j) Amount is less than $1,000.</FONT>&nbsp;</TD>
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     <TD colSpan=10 align=left><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>&nbsp;</TD></TR>
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     <TD colSpan=9 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mon stock and are non-income producing. The purchase price and number of</FONT>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD colSpan=9 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shares are subject to adjustment under certain conditions until the expiration date.</FONT>&nbsp;</TD></TR>
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     <TD colSpan=10 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(l) Investments in companies considered to be an affiliate of the Fund, for purposes of</FONT>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=9 align=left><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>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
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     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><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" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (756,457)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,200</FONT>&nbsp;</TD></TR>
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     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(m) Represents the current yield as of report date.</FONT>&nbsp;</TD>
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<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=9 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of February 28, 2010 were as follows:</FONT>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD colSpan=3 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;&nbsp; </TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Settlement Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><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" align=right><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" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6,887,624</FONT></TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,822,000</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/24/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 322,031</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>693,072</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>725,000</FONT>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp; Goldman Sachs</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/21/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,104</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>156,898</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100,500</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/21/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,717</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>337,184</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>209,000</FONT>&nbsp;</TD>
     <TD colSpan=3 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;4/21/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,627</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,062,877</FONT></TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>656,500</FONT>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
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     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Service, Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/21/10</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,243</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
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     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
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     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 410,722</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=9 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate swaps outstanding as of February 28, 2010 were as follows:</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
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     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B></TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 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" colSpan=3 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expiration</FONT></B>&nbsp;&nbsp;&nbsp; </TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.82%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan</FONT>&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>January</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chase Bank NA</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,842,608)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left>&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>Pays fixed interest rate and receives floating rate.</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="2%"></TD>
     <TD width="4%"></TD>
     <TD width="11%"></TD>
     <TD width="9%"></TD>
     <TD width="17%"></TD>
     <TD width="4%"></TD>
     <TD width="3%"></TD>
     <TD width="13%"></TD>
     <TD width="14%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD colSpan=9 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2010 were as follows:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pay</FONT></B>&nbsp; </TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 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" 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" colSpan=2 align=center>&nbsp;&nbsp;&nbsp;<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" colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expiration</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brunswick</FONT>&nbsp;</TD>
     <TD colSpan=7 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; September&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD 100&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ (2,826)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corp.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank USA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT>&nbsp; </TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2014</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD colSpan=9 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on trade index &#151; sold protection outstanding as of</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2010 were as follows:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Receive</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counter-</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Index</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" colSpan=4 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; party&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expiration&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rating</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" 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>3</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aces High</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Morgan</FONT>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 6,736</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (148,600)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield Index</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Stanley</FONT>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2010</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Services, Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD colSpan=9 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2010 were as follows:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Receive</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counter-</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 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" 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" colSpan=4 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; party&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expiration&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Rating</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" 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>3</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BAA</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.00%&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deutsche</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A&#150;</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP 300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (31,565)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ferrovial</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2012</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Junior Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD colSpan=8 align=left><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</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in the index.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD colSpan=8 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>event take place under the terms of the agreement. See Note 2 of the Notes to</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=3 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial Statements.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>
     <TD colSpan=6 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using Standard &amp; Poor&#146;s rating of the issuer.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD colSpan=9 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=9 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=9 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or rating group indexes, and/or as defined by Fund management.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=9 align=left><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 such</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>industry sub-classifications for reporting ease.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD colSpan=9 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fair Value Measurements &#151; Various inputs are used in determining the fair value of</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments, which are as follows:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=9 align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#151; price quotations inactive markets/exchanges for identical assets</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and liabilities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=9 align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,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 for</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar assets or liabilities in markets that are active, quoted prices for identical</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or similar assets or liabilities in markets that are not active, inputs other than</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=8 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default rates) or other market- corroborated inputs)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=9 align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstances, to the extent observable inputs are not available (including the</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s own assumptions used in determining the face value of investments)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=9 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodologies used for valuing securities are not necessarily an indi-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=9 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cation of the risk associated with investing in those securities. For information about</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=9 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=9 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>policies, please refer to the Note 1 of the Notes to Financial Statements.</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, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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 (concluded) </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="21%"></TD>
     <TD width="19%"></TD>
     <TD width="22%"></TD>
     <TD width="16%"></TD>
     <TD width="2%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of February 28, 2010 in deter-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mining the fair valuation of the Fund&#146;s investments:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=6 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in Securities</FONT></B></TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset-Backed</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151; $</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>513,243</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 513,243</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Stocks</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,050,798</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 734,669</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72,518</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,857,985</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48,607,728</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,085,515</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,693,243</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan Interests</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>83,082,162</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,847,481</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>104,929,643</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,137,754</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,137,754</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warrants</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Short-Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,615,121</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,615,121</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,665,919</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$132,424,559&nbsp;&nbsp;&nbsp;$ 25,656,514</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$161,746,992</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=6 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Financial Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B></TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 413,192 $</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,737</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 416,929</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Liabilities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,025,599)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16,408)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,042,007)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,612,407) $</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,671) $</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,625,078)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 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>Other financial instruments are swaps, foreign currency exchange contracts,</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>options and unfunded loan commitments. Swaps, foreign currency exchange</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;contracts and unfunded loan commitments are shown at the unrealized appre-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ciation/depreciation on the instrument and options are shown at value.</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="33%"></TD>
     <TD width="11%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Stocks</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Warrants</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2009</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 528,255</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,436</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,033,683</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$25,553,048</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 228,602</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$27,349,027</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized gain (loss)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,207)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,829,137)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,383)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,840,727)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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>2</FONT></SUP>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(15,012)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,808</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,207</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,588,838</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>352,338</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,944,179</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net purchases (sales)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,506</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,421,534)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,418,028)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net transfers in/out of Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,274</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48,326</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,956,266</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,564,197</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,622,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance, as of February 28, 2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 513,243</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 72,518</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,085,515</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$21,847,481</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,137,754</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$25,656,514</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=right><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>Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in unrealized appreciation/depreciation on securities</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>still held at February 28, 2010 was $6,059,889.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="66%"></TD>
     <TD width="16%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 other financial instruments for which significant</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unobservable inputs were used to determine fair value:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Financial Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>3</FONT></SUP></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2009</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 38,010</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized gain (loss)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net purchases (sales)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net transfers in/out of Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(34,273)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (16,408)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance as of February 28, 2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,737</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (16,408)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>Other financial instruments are unfunded loan commitments.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&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=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 23</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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 </FONT><FONT color=#005595 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>February 28, 2010 (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="59%"></TD>
     <TD width="8%"></TD>
     <TD width="13%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common Stocks (a)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Masonite Worldwide Holdings</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33,758</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,417,836</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GEO Specialty Chemicals, Inc.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,117</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,036</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>107</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,143</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nortek, Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,540</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56,980</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Medis Technologies Ltd.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,088</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Trico Marine Services, Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>119,185</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>308,689</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>136,289</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>286,256</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd. (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>152,951</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>321,252</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Western Forest Products, Inc. (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,657</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>625,165</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Common Stocks &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,418,901</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc., Series B, 9.75%, 12/17/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>618,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi International Holdings Unsecured, 12.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/06/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,306</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CPG International I, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.18%, 7/01/12 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,325,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,254,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,579,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Co., LLC, 10.63%, 1/15/16 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,048</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>630,110</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (b)(d)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>447</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98,895</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco, LLC, 14.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/15/18 (b)(d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>292</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,734</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>779,739</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GEO Specialty Chemicals, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 3/31/15 (b)(e)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>857</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>557,042</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 3/31/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>844</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>548,704</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 1/29/19 (d)(e)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>451</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>226,366</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,332,112</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clean Harbors, Inc., 7.63%, 8/15/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>808,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Geo Group, Inc., 7.75%, 10/15/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>556,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,364,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Communications Equipment &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brocade Communications Systems, Inc., 6.88%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/15/20 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>105</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>107,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nortek, Inc., 11.00%, 12/01/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,547</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,624,186</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Acceptance Corp., 9.13%, 2/01/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>360</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>358,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inmarsat Finance Plc, 7.38%, 12/01/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,225</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,255,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,613,825</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="65%"></TD>
     <TD width="5%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 2.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Escrow LLC, 8.25%, 11/15/15 (b)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,596,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clondalkin Acquisition BV, 2.25%, 12/15/13 (b)(c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,570,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,833</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Owens Brockway Glass Container, Inc., 6.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>194,717</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Packaging Dynamics Finance Corp., 10.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/01/16 (b)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>730</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>581,262</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit Kappa Acquisitions (b):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 11/15/17</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700,572</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 11/15/19</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>677,424</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,340,808</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 2.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., 7.00%, 5/01/17</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,990</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,642,412</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FCE Bank Plc, 7.13%, 1/16/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,214,706</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GMAC, Inc., 2.45%, 12/01/14 (c)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,675</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,432,956</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>810,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Issuer, Inc., 7.75%, 10/15/16 (b)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>543,306</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,643,380</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cincinnati Bell, Inc., 8.25%, 10/15/17</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>
     <TD 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PAETEC Holding Corp., 8.88%, 6/30/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>226,687</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Communications International, Inc., 8.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/01/15 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>621,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Corp., 8.38%, 5/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>540</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>591,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Windstream Corp., 7.88%, 11/01/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,955,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,493,987</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expro Finance Luxembourg SCA, 8.50%, 12/15/16 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,250</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,243,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AmeriQual Group LLC, 9.50%, 4/01/12 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B&amp;G Foods, Inc., 7.63%, 1/15/18</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>606,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bumble Bee Foods LLC, 7.75%, 12/15/15 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>451,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smithfield Foods, Inc., 10.00%, 7/15/14 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,623,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,680,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC, 10.88%, 11/15/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,245</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,332,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tenet Healthcare Corp. (b):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 5/01/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>175</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>183,313</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.88%, 7/01/19</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,530</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,669,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vanguard Health Holding Co. II LLC, 8.00%, 2/01/18 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>925</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>908,812</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,761,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Health, Inc., 12.50%, 3/01/18 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,860</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,139,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels Restaurants &amp; Leisure &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Icahn Enterprises LP (b):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 1/15/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>940,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 1/15/18</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,880,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Little Traverse Bay Bands of Odawa Indians, 10.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/15/14 (a)(b)(f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>395,163</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,215,163</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beazer Homes USA, Inc., 12.00%, 10/15/17 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,338,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (b)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,012,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc., 7.25%, 2/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,155</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,171,163</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,183,663</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, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<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="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp. (b):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.75%, 12/01/15</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>640</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 627,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13.50%, 12/01/15 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,757</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,761,729</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,388,929</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT 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 style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,880</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,630,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Marine &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navios Maritime Holdings, Inc., 8.88%, 11/01/17 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>530</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>539,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 4.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group, Inc., 10.13%, 10/15/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,050</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,060,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CSC Holdings, Inc., 8.50%, 4/15/14 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>420</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>441,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cablevision Systems Corp., Series B, 8.00%, 4/15/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>975</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,027,406</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clear Channel Worldwide Holdings, Inc., 9.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,520</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,586,292</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DISH DBS Corp., 7.00%, 10/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>925</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>945,813</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Seat Pagine Gialle SpA, 10.50%, 1/31/17 (b)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>893</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,125,613</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Germany GmbH, 8.13%, 12/01/17 (b)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Secured Finance Plc, 6.50%, 1/15/18 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,231,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,418,399</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FMG Finance Property Ltd., 4.25%, 9/01/11 (b)(c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>265</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>261,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ryerson, Inc., 7.62%, 11/01/14 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>803,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,064,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp., 11.88%, 7/15/17 (d)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>445</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>517,313</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,205</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>897,911</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NewPage Corp., 10.00%, 5/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>610</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Holdings LLC, Series B, 4.00%, 8/01/14 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>910</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>734,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,983,486</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Angiotech Pharmaceuticals, Inc., 4.00%, 12/01/13 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>605</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>490,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Elan Finance Plc, 4.25%, 11/15/11 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,747,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,237,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advanced Micro Devices, Inc., 8.13%, 12/15/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>660</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>668,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Spansion, Inc., 3.79%, 6/01/13 (a)(b)(f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,720</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,702,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>STATS ChipPAC Ltd.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 7/19/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>181,575</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 11/15/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>385</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>383,556</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,936,181</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JDA Software Group, Inc., 8.00%, 12/15/14 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>177</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>182,310</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 1.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc., 7.75%, 5/15/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,540,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel Group Ltd., 9.13%, 1/15/15 (b)(d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>278</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>271,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iPCS, Inc., 2.37%, 5/01/13 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" 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 style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,191,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#151; 30.1%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>78,738,187</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (c)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avio SpA:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B2, 2.35%, 12/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,621</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C2, 2.98%, 12/14/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,587</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawker Beechcraft Acquisition Co. LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Facility Deposit, 2.25%, 3/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,286</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.23% &#150; 2.25%, 3/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,135</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>835,465</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="13%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (c)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense (concluded)</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IAP Worldwide Services, Inc., Term Loan (First-Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.00% &#150; 7.25%, 12/30/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;(h)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TASC, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 5.50%, 12/18/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>680 $</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>682,834</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 5.75%, 12/18/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,320</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,328,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,928,593</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc., Credit- Linked Deposit Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.08% &#150; 2.25%, 4/30/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,225</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,144,355</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 3.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group Holdings, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.73%, 10/17/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>675</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>655,087</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allison Transmission, Inc., Term Loan, 2.98% &#150; 3.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/07/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,274</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,914,353</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dana Holding Corp., Term Advance, 4.48% &#150; 6.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/30/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,136</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,106,877</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Exide Technologies Term Loan, 3.91%, 5/15/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>398,284</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GPX International Tire Corp., Tranche B Term Loan (a)(f):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.00%, 4/11/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.25%, 3/30/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,141</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>570,273</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lear Corp., Loan (Closing Date Loan &amp; Delayed</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Draw Loan), 7.50%, 11/09/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,406</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,409,168</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,063,342</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Automobiles &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Co., Tranche B-1 Term Loan, 3.24% &#150; 3.26%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,661</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,478,423</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beverages &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Culligan International Co., Loan (Second Lien), 5.18%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/24/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>281,409</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 2.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Materials Corp. of America:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 6.00%, 9/15/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,650</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,623,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan Advance, 3.00%, 2/22/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,833</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,784,733</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goodman Global, Inc., Term Loan, 6.25%, 2/13/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,442</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,451,355</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PGT Industries, Inc., Tranche A-2 Term Loan, 7.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/14/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,264,134</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,123,822</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 6.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ashland Inc., Term B Borrowing, 7.65%, 5/13/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>726</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>734,218</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chemtura Corp. Debtor in Possession Return of Capital</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 6.00%, 1/26/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,607,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.25%, 5/31/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>488</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>388,172</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gentek Holding, LLC, Tranche B Term Loan, 7.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/29/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>904,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Huish Detergents Inc., Tranche B Term Loan, 2.01%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>714</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>685,841</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matrix Acquisition Corp. (fka MacDermid, Inc.),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C Term Loan, 2.63%, 12/15/13</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>571</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>633,385</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nalco Co., Term Loan, 6.50%, 5/13/16</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,438</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,454,814</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PQ Corp. (fka Niagara Acquisition, Inc.), Original</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 3.48% &#150; 3.50%, 7/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,715</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,484,225</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rockwood Specialties Group, Inc., Term Loan H, 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,525</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,529,575</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia Inc., Loan, 7.25%, 2/28/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,907</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,944,948</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tronox Worldwide LLC, Tranche B-1 Term Loan, 9.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/24/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,641,920</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,008,598</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 3.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ARAMARK Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Facility, 2.11%, 1/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>92</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87,304</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan, 2.13%, 1/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,392</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,327,533</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advanced Disposal Services, Inc., Term B Loan, 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/14/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100,000</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>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 25</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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="64%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (c)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies (concluded)</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Casella Waste Systems, Inc, Term B Loan, 7.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/09/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>746</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 750,914</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>John Maneely Co., Term Loan, 3.50%, 12/09/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>706</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>662,194</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Johnson Diversey, Inc. Term Loan B, 5.50%, 11/24/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>906,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.23%, 4/02/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,564</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,378,906</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>West Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Incremental Term B-3 Loan, 7.25%, 10/24/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,492</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,506,771</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-2 Loan, 2.60% &#150; 2.63%, 10/24/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>531</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>511,856</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,232,228</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safway First Out Term Loan, 9.00%, 12/14/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Welding Services Term Loan B, 9.35%, 12/16/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,502,394</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,202,394</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaimlerChrysler Financial Services Americas LLC,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 4.24%, 8/03/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,401</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,370,407</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Anchor Glass Term Loan B, 6.00%, 2/18/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,350</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,336,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Holding Corp., Term C Loan, 2.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/03/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,047</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>937,049</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graham Packaging Co., LP:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B Term Loan, 2.50%, 10/07/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>105</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>103,224</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>C Term Loan, 6.75%, 4/05/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>664</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>667,033</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,043,806</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#151; 2.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Service Corp., Term Loan, 3.26%, 11/14/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,702</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,337,017</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Laureate Education Term Loan B, 7.00%, 8/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,491</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,459,567</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,796,584</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., Tranche 2A Term Loan, 9.50% &#150; 9.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/20/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,875</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,920,703</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Holdings Inc., US Term Loan, 6.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/05/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,308,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,228,828</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#151; 1.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Integra Telecom Holdings, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.50%, 8/31/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,141</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,140,381</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 Communications Incremental Term Loan, 7.59%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/13/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,125</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,013,672</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Telepacific Corp. Second Lien Term Loan, 7.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/25/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475,891</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wind Finance SL SA, Euro Facility (Second Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.67%, 12/17/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,356,190</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wind Telecomunicazioni SpA, A1 Term Loan Facility,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.90%, 9/22/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>712</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>932,127</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,918,261</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electrical Equipment &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Baldor Electric Co., Term Loan, 5.25%, 1/31/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,338</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,339,836</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Generac Acquisition Corp., Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.75%, 11/10/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>524</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>480,183</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,820,019</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp., Tranche D Term Loan, 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/03/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,094</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,074,052</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#151; 3.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AB Acquisitions UK Topco 2 Ltd. (fka Alliance Boots),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.54%, 7/09/15</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,775,766</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bolthouse Farms, Inc. Term Loan B, 3.75%, 2/04/16</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>
     <TD 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DS Waters of America, Inc., Term Loan, 2.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/29/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>914</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>855,006</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="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (c)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing (concluded)</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pierre Foods Term Loan B, 8.50%, 9/30/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>656</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 653,861</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pilot Travel Centers Term Loan B, 3.50%, 11/18/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,762,749</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/10/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,900</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,968,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SUPERVALU Inc., Term B Advance, 1.48%, 6/02/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>664,027</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,779,809</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#151; 4.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CII Investment, LLC (fka Cloverhill), Term Loan B, 8.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/14/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,889</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,889,286</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dole Food Co., Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit-Linked Deposit, 7.89%, 4/12/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>390</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>390,102</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 3.50%, 2/10/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>912</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>912,221</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 5.50%, 2/10/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,188</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,189,329</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 8.00%, 4/12/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>678</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>678,409</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pilgrim&#146;s Pride Corp. Term Loan A, 5.29%, 12/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>950</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>935,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pinnacle Foods Finance LLC, Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 4/02/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,510,267</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solvest, Ltd. (Dole), Tranche C Term Loan, 8.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/12/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,201</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,201,118</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,706,482</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Biomet, Inc., Dollar Term Loan, 3.23% &#150; 3.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/25/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,814</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,754,198</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.23%, 5/20/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>885</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>854,836</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hologic, Inc., Tranche B Term Loan, 3.50%, 3/29/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>52</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,511</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,660,545</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 4.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCS Medical, Inc. (Chronic Care), Loan (Debtor In</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Possession), 13.00%, 3/31/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,247</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.50%, 7/25/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>176</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>164,681</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Term Loan, 2.48% &#150; 2.50%, 7/25/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,429</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,203,874</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaVita Inc., Tranche B-1 Term Loan, 1.73% &#150; 1.76%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/05/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>285</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>278,338</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fresenius SE.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B1 Term Loan, 6.75%, 9/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,225</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,231,687</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B2 Term Loan, 6.75%, 9/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>749</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>752,594</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A-1 Term Loan, 1.75%, 11/16/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,532</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,446,956</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 2.50%, 11/18/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,948</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,848,297</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vanguard Health Systems Term Loan B, 5.00%, 1/29/16</FONT>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,002,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,960,174</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Healthcare Term Loan B, 5.25%, 2/16/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,510,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels Restaurants &amp; Leisure &#151; 5.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cedar Fair LP Term Loan B, 4.00% 2/04/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,597,501</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Green Valley Ranch Gaming, LLC, Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.50%, 8/16/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrah&#146;s Operating Co., Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-1 Loan, 3.25%, 1/28/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>192</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>154,978</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-2 Loan, 3.25%, 1/28/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,259</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,823,666</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-3 Loan, 3.25%, 1/28/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>168</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135,591</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.98% &#150; 2.00%, 10/03/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,136</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,112,613</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>QCE, LLC (Quiznos), Term Loan (Second Lien), 2.56%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/05/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>424</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>361,291</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SW Acquisitions Co., Inc., Term Loan, 5.75%, 6/01/16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,259,844</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Six Flags Theme Parks, Inc. Term Loan, 4.50%, 6/13/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,467,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Travelport LLC (fka Travelport, Inc.):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit Loan, 2.75%, 8/23/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>178</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>167,341</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Dollar Term Loan, 2.74% &#150; 2.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/23/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>889</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>833,991</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, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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 (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="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (c)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Universal City Development Term Loan B, 7.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/06/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,508,437</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Project Loan, 4.76%, 5/25/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>320</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>304,159</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Project Loan, 4.76%, 5/27/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>723</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>687,635</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,464,672</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Residential Services LLC, Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Second Lien), 12.00%, 4/17/15 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,061</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,983,308</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jarden Corp., Term Loan B3, 2.75%, 1/24/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>544</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>539,736</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,523,044</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#151; 4.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Audio Visual Services Group, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan (First Lien), 2.51%, 2/28/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>995</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>696,437</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 5.76%, 8/28/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,077</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>107,704</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ceridian Corp., US Term Loan, 3.23% &#150; 3.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/09/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,152</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,007,492</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan, 2.98% &#150; 3.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>356</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>310,851</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 2.98% &#150; 3.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,606</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,016,721</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>340</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295,556</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RedPrairie Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 6.75%, 1/20/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>285,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 3.31%, 7/20/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>523</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>507,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Incremental Term Loan, 6.75%, 2/28/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>895</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>898,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B US Term Loan, 3.86% &#150; 3.87%, 2/28/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,249</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,191,538</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,317,587</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 1.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dynegy Holdings Inc., Tranche B Term Loan, 3.98%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/02/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,463,560</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan, 3.73% &#150; 3.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,516</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,022,307</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.73% &#150; 3.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>224</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180,507</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.73% &#150; 3.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,435</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,148,202</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,814,576</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp., Term Loan, 3.51% &#150; 3.94%, 12/03/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,769</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,617,881</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alliant Holdings I, Inc., Term Loan, 3.25%, 8/21/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>489</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>461,258</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FTD Group, Inc., Tranche B Term Loan, 6.75%, 8/26/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>634</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>633,587</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Leisure Equipment &amp; Products &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24 Hour Fitness Worldwide, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.76%, 6/08/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>401,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fender Musical Instruments Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Loan, 2.51%, 6/09/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>164</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>139,364</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Loan, 2.51%, 6/09/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>326</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275,897</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>816,886</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 2.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accuride Term Loan, 10.00%, 1/31/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>790</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>788,354</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bucyrus International Term Loan C, 4.50%, 1/26/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,261,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NACCO Materials Handling Group, Inc., Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.23% &#150; 2.52%, 3/21/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,448</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,165,238</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Oshkosh Truck Corp., Term B Loan, 6.25% &#150; 6.26%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/06/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,069</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,067,039</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,282,556</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="65%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (c)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 19.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group Holdings, Inc., Loan, 7.89%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/01/12 (d)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,349</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,274,412</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Catalina Marketing Corp., Initial Term Loan, 2.98%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>645</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>621,876</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc. (Thomson Learning),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,179</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,137,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cequel Communications, LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.25%, 11/05/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>526</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>498,709</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan (Second Lien), 4.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/05/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,948,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan (Second Lien), 6.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/05/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475,760</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Charter Communications Operating, LLC, New Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.23%, 3/06/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,600</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,223,523</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Publishing Co. Ltd.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mezzanine, 17.50%, 11/14/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>593</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 5.23%, 6/12/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,607</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,351,642</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.50% &#150; 2.56%, 3/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,466</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>654,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harland Clarke Holdings Corp. (fka Clarke American</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corp.), Tranche B Term Loan, 2.73% &#150; 2.75%, 6/30/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>975</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>852,638</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Insight Midwest Holdings, LLC, B Term Loan, 2.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/07/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,825</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,752,285</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Corp. (fka PanAmSat Corp.):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2-A Term Loan, 2.73%, 1/03/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>333</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>316,123</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2-B Term Loan, 2.73%, 1/03/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>332</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>316,026</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2-C Term Loan, 2.73%, 1/03/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>332</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>316,026</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.73%, 7/03/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,682</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,605,099</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lamar Media Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B Incremental Loan, 5.50% &#150; 5.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/28/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>971</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>963,702</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series E Incremental Loan, 5.50% &#150; 5.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/31/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>470</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>469,886</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 5.50%, 9/28/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,818</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,796,907</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.34%, 6/30/15</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>337</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>314,143</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C1, 3.59%, 6/30/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>337</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>314,143</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MCC Iowa LLC (Mediacom Broadband Group):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 1.71%, 3/31/10</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>199,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche E Term Loan, 6.50%, 1/03/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,853</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,876,101</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MCNA Cable Holdings LLC (OneLink Communications),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 7.23%, 3/01/13 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,289</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,005,369</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.96%, 1/11/17</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>427,560</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20.50%, 4/09/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>992</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>595,880</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Multicultural Radio Broadcasting, Inc., Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.98%, 12/18/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>304</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>241,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,870,312</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A, Dollar Term Loan, 2.23%, 8/09/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>547</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>515,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B, Dollar Term Loan, 3.98%, 5/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,534</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,453,526</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Penton Media, Inc., Loan, 9.25%, 2/01/14 (a)(f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>133,333</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sinclair Television Group, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 10/29/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,250</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,256,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Springer Science+Business Media SA, Facility A1,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 7/01/16</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,691,539</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunshine Acquisition Ltd. (aka HIT Entertainment),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 2.50%, 3/20/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,757</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,544,726</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,726</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,732,342</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Financing Partnership, Facility U, 4.99%, 12/31/17 EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,850</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,346,928</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Investment Holdings Ltd., C Facility, 3.57%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/17/13</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>790</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,125,296</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Worldcolor Press Inc. and Worldcolor (USA) Corp.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(fka Quebecor World, Inc.), Advance, 9.00%, 7/23/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,620</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,636,508</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yell Group Plc TPI Term Loan A, 7.12%, 8/09/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>957,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,884,945</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, 2010 27</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_29"></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="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (c)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Transfer Equity, LP, Term Loan, 1.98%, 11/01/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 986,243</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 2.81%, 11/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Advance (Second Lien), 4.81%, 5/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>459,166</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Advance (First Lien), 2.75%, 11/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>533,868</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,028,427</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp., Tranche B-2 Term Loan, 2.98%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/07/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,686</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,621,979</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Neiman Marcus Group Inc., Term Loan, 2.26%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/06/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>410</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>367,998</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,989,977</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Big West Oil, LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Loan, 4.50%, 5/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>779</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>763,241</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>619</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>606,983</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Advance Loan, 9.75%, 5/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>625</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>628,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coffeyville Resources, LLC, Tranche D Term Loan, 8.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/30/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,470</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,478,752</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,477,101</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 1.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgia-Pacific LLC, Term Loan B, 2.25% &#150; 2.26%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/23/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,648</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,586,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Finance Holdings LLC, Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50% &#150; 7.25%, 2/01/13 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,051</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,127,776</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,714,326</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Safety Razor Co., LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 6.51%, 1/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>675</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>394,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 2.75% &#150; 2.76%, 7/31/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>474</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>430,359</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revlon Consumer Products Corp., Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.25% &#150; 4.26%, 1/15/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,120,453</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Catalent Pharma Solutions, Inc. (fka Cardinal</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Health 409, Inc.), Euro Term Loan, 2.67%, 4/15/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>277</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>333,551</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Co., LLC, Term A Loan, 5.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/30/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,119</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,118,365</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Corp., Term B-1 Loan, 5.75%, 4/30/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,375</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,373,761</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,825,677</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Booz Allen Hamilton, Inc., Term Loan C, 6.00%, 7/31/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,257,031</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#151; 1.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mattamy Funding Partnership, Loan, 2.56%, 4/11/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>963</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>880,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term B Loan, 3.25%, 10/10/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,097</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>967,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term B Loan, 3.25%, 10/10/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,950</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,719,545</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,567,758</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Adesa, Inc. (KAR Holdings, Inc.), Initial Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.98%, 10/21/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>814</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>785,206</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.50% &#150; 2.56%, 10/31/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>596</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>536,657</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 4.75% &#150; 4.81%, 7/31/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,091</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,039,472</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,361,335</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hanesbrands Inc., New Term Loan, 5.25%, 12/10/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>806,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 1.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel International Finance Ltd., Tranche A, 2.81%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/30/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,717</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,614,811</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="59%"></TD>
     <TD width="4%"></TD>
     <TD width="2%"></TD>
     <TD width="15%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (c)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 colSpan=2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services (concluded)</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetroPCS Wireless, Inc., Tranche B Term Loan, 2.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/03/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 1,745</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,681,671</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,296,482</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Floating Rate Loan Interests &#151; 88.6%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>231,593,690</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beneficial</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Interests (g)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi DIP Holding Co. LLP, Class B Membership Interests</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;(h)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,669,295</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J.G. Wentworth LLC Preferred Equity Interests</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;(h)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>657,741</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Other Interests &#151; 1.3%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,327,036</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $335,041,580) &#151; 120.9%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>316,077,814</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund, Institutional</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class 0.09% (i)(j)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,442,325</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,442,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=4 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities (Cost &#151; $1,442,325) &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,442,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Call Options &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco LLC, Strike Price $942.86,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expires 12/21/19, Broker Goldman Sachs Bank USA</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Purchased (Cost &#151; $19,556) &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments (Cost &#151; $336,503,461*) &#151; 121.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>317,523,939</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(55,918,011)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$261,605,928</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The cost and unrealized appreciation (depreciation) of investments as of</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2010, as computed for federal income tax purposes, were as follows:</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$336,764,990</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,774,962</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(27,016,013)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized depreciation</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (19,241,051)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a) Non-income producing security.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=right><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) Variable rate security. Rate shown is as of report date.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Represents a payment-in-kind security which may pay interest/dividends in addi-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tional face/shares.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Convertible security.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 align=left>&nbsp;<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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Other interests represent beneficial interest in liquidation trusts and other reorgani-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>zation entities and are non-income producing.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) Amount is less than $1,000.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) Investments in companies considered to be an affiliate of the Fund, for purposes of</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=5 align=left>&nbsp; &nbsp; &nbsp; &nbsp;<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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp; &nbsp; &nbsp; &nbsp;<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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><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" 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 align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (576,054)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,046</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(j) Represents the current yield as of report date.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR></TABLE><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, 2010</FONT></P>
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<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded) </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="2%"></TD>
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     <TD width="10%"></TD>
     <TD width="12%"></TD>
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     <TD width="23%"></TD>
     <TD width="14%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD colSpan=7 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2010 were as follows:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Receive</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counter-</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 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" 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" colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; party&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expiration&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratings</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" 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" 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 align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Co.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.80%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UBS AG&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; March 2010&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CCC</FONT>&nbsp;&nbsp;&nbsp; </TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,712</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD colSpan=4 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using Standard &amp; Poor&#146;s rating of the issuer.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD colSpan=6 align=right><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=6 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>event take place as defined under the terms of the agreement. See Note 2 of</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Notes to Financial Statements.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of February 28, 2010 were as follows:</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Settlement Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><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" 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" 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" 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 align=left>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 301,128&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CAD</FONT></TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>315,000</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank USA</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/21/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,783</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD14,596,885&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EUR&nbsp;&nbsp;&nbsp;&nbsp; 10,155,500&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CitiBank NA</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/24/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>769,245</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 3,479,242&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;GBP&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,149,000</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Morgan Stanley</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Services, Inc.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4/21/10</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>203,747</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 974,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD colSpan=7 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or rating group indexes, and/or as defined by Fund management.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><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 such</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>industry sub-classifications for reporting ease.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fair Value Measurements &#151; Various inputs are used in determining the fair value of</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments, which are as follows:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#151; price quotations inactive markets/exchanges for identical assets</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and liabilities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,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 for</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar assets or liabilities in markets that are active, quoted prices for identical</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or similar assets or liabilities in markets that are not active, inputs other than</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=6 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default rates) or other market- corroborated inputs)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstances, to the extent observable inputs are not available (including the</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s own assumptions used in determining the face value of investments)</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="21%"></TD>
     <TD width="19%"></TD>
     <TD width="22%"></TD>
     <TD width="16%"></TD>
     <TD width="3%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodologies used for valuing securities are not necessarily an indi-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cation of the risk associated with investing in those securities. For information about</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>policies, please refer to the Note 1 of the Notes to Financial Statements.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of February 28, 2010 in deter-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mining the fair valuation of the Fund&#146;s investments:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=6 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in Securities</FONT></B></TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Stocks</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,035,526</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 321,252 $</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,123</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,418,901</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77,373,769</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,364,418</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>78,738,187</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan Interests</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>194,094,273</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,499,417</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>231,593,690</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,327,036</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,327,036</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Short-Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,442,325</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,442,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,477,851</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$271,789,294&nbsp;&nbsp;$ 42,252,994</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$317,520,139</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=6 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Financial Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B></TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 980,287 $</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,813</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 988,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Liabilities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(95,429)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(95,429)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 980,287 $</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(87,616) $</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>892,671</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 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>Other financial instruments are swaps, foreign currency exchange contracts,</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>options and unfunded loan commitments. Swaps, foreign currency exchange</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts and unfunded loan commitments are shown at the unrealized appre-</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ciation/depreciation on the instrument and options are shown at value.</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="42%"></TD>
     <TD width="20%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="2%"></TD>
     <TD width="7%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other</FONT></B>&nbsp;</TD>
     <TD align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Stocks</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2009</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,143</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,823,032</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$54,573,840</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 262,849</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$57,664,864</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized gain (loss)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,066)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,560,443)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(14,550)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,582,059)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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>2</FONT></SUP>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77,444</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,099,332</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>409,442</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,586,218</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net purchases (sales)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,702</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(15,924,503)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(15,915,801)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net transfers in/out of Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56,980</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,537,694)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,688,809)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,669,295</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,500,228)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance, as of February 28, 2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 62,123</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,364,418</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$37,499,417</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,327,036</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$42,252,994</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=7 align=left><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>Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in unrealized appreciation/depreciation on securities</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>still held at February 28, 2010 was $11,844,022.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 other financial instruments for which significant unobservable inputs were used to determine fair value:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="67%"></TD>
     <TD width="15%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>3</FONT></SUP></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2009</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (49,905)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized gain (loss)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net purchases (sales)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net transfers in/out of Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,813</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(45,524)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance as of February 28, 2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,813</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (95,429)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>Other financial instruments are unfunded loan commitments.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&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=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 29</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, 2010 (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="65%"></TD>
     <TD width="5%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Credit Auto Owner Trust, Series 2009-A,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A3B, 2.73%, 5/15/13 (a)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,135</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9,345,317</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest Only &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sterling Bank Trust, Series 2004-2, Class Note, 2.08%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/30/30</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,561</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,299,030</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sterling Coofs Trust, Series 1, 2.36%, 4/15/29</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,233</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,467,809</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,766,839</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Asset-Backed Securities &#151; 2.0%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,112,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common Stocks (b)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lear Corp.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,302</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>852,160</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accuride Corp.</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>139,370</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>181,181</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accuride Corp. &#151; Restricted Shares</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>139,371</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>181,182</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>362,363</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euramax International</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>234</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,011</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SIRVA</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,109</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,090</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USI United Subcontractors</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,116</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>79,503</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>97,604</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lazydays RV Center, Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,549</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41,140</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Common Stocks &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,353,267</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Park-Ohio Industries, Inc., 8.38%, 11/15/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>733,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc., Series B, 9.75%, 12/17/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,444</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,487,320</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi International Holdings Unsecured, 12.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/06/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64,613</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Materials Corp. of America, 7.00%, 2/15/20 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,875</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,875,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>735,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,610,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>E*Trade Financial Corp., 3.99%, 8/31/19 (c)(d)(e)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>249</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>378,480</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MU Finance Plc, 8.75%, 2/01/17 (c)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,007</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,420,321</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Co., LLC, 10.63%, 1/15/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,381</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,431,576</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (c)(f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,010</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>223,430</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco, LLC, 14.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/15/18 (c)(f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>661</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>114,795</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,568,602</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Pacific Corp., 9.00%, 2/01/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,086,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ames True Temper, Inc., 4.25%, 1/15/12 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,085</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,949,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Huntsman International LLC, 5.50%, 6/30/16 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,385</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,218,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Innophos, Inc., 8.88%, 8/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,225</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,286,187</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,540,712</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ACCO Brands Corp., 10.63%, 3/15/15 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,025</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,114,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,326</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,343,445</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,121,787</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,579,407</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="65%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Credit Co. LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.38%, 2/01/11</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,800</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,856,070</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.00%, 1/13/12 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>565</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>529,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,665</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,682,597</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,068,355</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 1.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Escrow LLC, 8.25%, 11/15/15 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,394,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Holding Corp., 8.88%, 9/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>283,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beverage Packaging Holdings Luxembourg II SA, 8.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/16</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>165</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>214,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>885</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>913,762</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Impress Holdings BV, 3.38%, 9/15/13 (a)(c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,255</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,170,287</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pregis Corp., 12.38%, 10/15/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,020</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,004,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit Kappa Acquisitions (c):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 11/15/17</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,215</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,621,324</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 11/15/19</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,155</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,564,849</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,167,573</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 3.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., 7.00%, 5/01/17</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,885</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,084,619</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GMAC LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 9/15/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,050</FONT>&nbsp;</TD>
     <TD 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 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 8/28/12 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,371</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,357,290</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.30%, 2/12/15 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,150</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,177,562</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,615</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,647,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,317,159</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Telekom International Finance BV, 8.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/15/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,110,055</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nordic Telephone Co. Holdings ApS, 8.88%, 5/01/16 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>580</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>620,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PAETEC Holding Corp., 8.88%, 6/30/17 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>528,686</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Communications International, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,595</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,630,950</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 10/01/15 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,587,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Corp., 8.38%, 5/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>590</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>646,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wind Acquisition Finance SA, 10.75%, 12/01/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>963,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Windstream Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.13%, 8/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>590</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>613,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.63%, 8/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>690</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>702,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.88%, 11/01/17 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" 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 style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,846,266</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Elwood Energy LLC, 8.16%, 7/05/26</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>129</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>123,887</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Compagnie Generale de Geophysique-Veritas:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 5/15/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>255</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>249,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>420</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>411,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expro Finance Luxembourg SCA, 8.50%, 12/15/16 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,487,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>North American Energy Partners, Inc., 8.75%, 12/01/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>139,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,288,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Duane Reade, Inc., 11.75%, 8/01/15 (c)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>455</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>573,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bumble Bee Foods LLC, 7.75%, 12/15/15 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,040</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,042,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smithfield Foods, Inc., 10.00%, 7/15/14 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,410</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,608,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,651,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC, 10.88%, 11/15/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,780</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,974,600</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, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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="65%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 2.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Community Health Systems, Inc., 8.88%, 7/15/15</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 465,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaVita, Inc., 6.63%, 3/15/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,980</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,984,950</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tenet Healthcare Corp. (c):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 5/01/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>812</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850,570</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 5/01/18</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,682</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,350,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Viant Holdings, Inc., 10.13%, 7/15/17 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,874,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,525,770</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Health, Inc., 12.50%, 3/01/18 (c)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,945,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels Restaurants &amp; Leisure &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Greektown Holdings, LLC, 10.75%, 12/01/13 (b)(c)(g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,059</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63,540</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tropicana Entertainment LLC, 9.63%, 12/15/14 (b)(g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>234</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63,774</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#151; 1.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beazer Homes USA, Inc., 12.00%, 10/15/17 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,800</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,237,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berkline/BenchCraft, LLC, 4.50%, 11/03/12 (b)(c)(g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,448,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,685,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iPayment, Inc., 9.75%, 5/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>950</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>828,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iPayment Investors LP, 11.63%, 7/15/14 (c)(f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,337</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,069,747</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SunGard Data Systems, Inc., 4.88%, 1/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200,756</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,099,378</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 3.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The AES Corp., 8.75%, 5/15/13 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,803</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,852,053</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (c)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,550</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,594,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Holdings Corp., 10.00%, 1/15/20 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,836,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,710</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,782,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.38%, 2/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>419,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,484,409</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp. (c):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.75%, 12/01/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,950</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,891,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13.50%, 12/01/15 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,870</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,884,674</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,775,674</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AGY Holding Corp., 11.00%, 11/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accuride Corp., 7.50%, 2/26/20 (d)(f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,396</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navistar International Corp., 8.25%, 11/01/21</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,700</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,740,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,935</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,546,113</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synventive Molding Solutions Sub-Series A, 14.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/14/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>760</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,795</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,533,804</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Marine &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navios Maritime Holdings, Inc., 8.88%, 11/01/17 (c)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,230</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,251,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 6.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group, Inc., 10.13%, 10/15/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,825</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,853,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCH II LLC, 13.50%, 11/30/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,406</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,660,882</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CMP Susquehanna Corp., 3.20%, 5/15/14 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>194</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,880</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clear Channel Worldwide Holdings, Inc., 9.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/17 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,850</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,003,877</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DISH DBS Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 10/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,450</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,482,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 2/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lighthouse International Co. SA:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 4/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>613</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>521,684</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 4/30/14 (c)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>235</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>199,993</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,520</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>699,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC, 10.00%, 8/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,695</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,833,562</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="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media (concluded)</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ProtoStar I Ltd., 18.00%, 10/15/12 (b)(c)(d)(g)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,454</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,281,404</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rainbow National Services LLC (c):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.75%, 9/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>925</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>943,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.38%, 9/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,134</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,294,618</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Seat Pagine Gialle SpA, 10.50%, 1/31/17 (c)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,060</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,596,599</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TL Acquisitions, Inc., 10.50%, 1/15/15 (c)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,815</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,387,669</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Germany GmbH, 8.13%, 12/01/17 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,500,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Secured Finance Plc, 6.50%, 1/15/18 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,477,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,940,743</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#151; 1.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Arch Western Finance LLC, 6.75%, 7/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,506,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Murray Energy Corp., 10.25%, 10/15/15 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,430</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,431,788</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New World Resources NV, 7.38%, 5/15/15</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,696,623</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Teck Resources Ltd., 10.75%, 5/15/19</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,453,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,088,511</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp., 11.88%, 7/15/17 (f)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,458</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,857,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#151; 2.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Petroleum Co., 8.25%, 11/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>551,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chesapeake Energy Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.38%, 6/15/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>335</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>324,113</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 12/15/18</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,462,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crosstex Energy LP, 8.88%, 2/15/18 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>855</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>867,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Denbury Resources, Inc., 8.25%, 2/15/20</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>975</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,009,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>165</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>165,206</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>El Paso Corp., 7.00%, 6/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,507,672</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Encore Acquisition Co., 6.00%, 7/15/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>251,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,190</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,261,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,515</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,329,413</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SandRidge Energy, Inc., 8.63%, 4/01/15 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>177,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Whiting Petroleum Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 5/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,403,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,387,079</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Domtar Corp., 7.88%, 10/15/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,575</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NewPage Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 5/01/12 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>795,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 5/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>109,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.38%, 12/31/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,845</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,401,975</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,316,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Valeant Pharmaceuticals International, 8.38%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/15/16 (c)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,320</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,366,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advanced Micro Devices, Inc., 8.13%, 12/15/17 (c)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,545</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,564,312</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BMS Holdings, Inc., 7.89%, 2/15/12 (a)(c)(f)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>594</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,888</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Nutrition Centers, Inc., 10.75%, 3/15/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>870</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>879,788</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Group 1 Automotive, Inc., 8.25%, 8/15/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,012,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sonic Automotive, Inc., Series B, 8.63%, 8/15/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,142,837</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,035,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Levi Strauss &amp; Co., 8.63%, 4/01/13</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,284,314</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Quiksilver, Inc., 6.88%, 4/15/15</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,202,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,486,339</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Tobacco &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds American, Inc., 7.63%, 6/01/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,128,801</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, 2010 31</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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="64%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.38%, 11/01/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 29,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 7/15/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>243,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 5/15/16 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,286,562</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel Group Ltd. (c):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.88%, 1/15/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,120</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,069,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.13%, 1/15/15 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,467</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,405,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>270</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>269,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,303,662</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#151; 40.0%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>241,797,163</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (a)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawker Beechcraft Acquisition Co. LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Facility Deposit, 2.25%, 3/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>156</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>114,523</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.23% &#150; 2.25%, 3/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,623</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,930,477</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,045,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allison Transmission, Inc., Term Loan, 2.98% &#150; 3.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/07/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,983</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,647,109</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dana Holding Corp., Term Advance, 4.48% &#150; 6.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/30/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,772</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,725,777</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dayco Products:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 10.50%, 5/13/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>205</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>196,408</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 12.50%, 11/13/14 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,901</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lear Corp., Loan (Closing Date Loan &amp; Delayed</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Draw Loan), 7.50%, 11/09/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325,674</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,922,869</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Automobiles &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Co., Tranche B-1 Term Loan, 3.24% &#150; 3.26%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,193</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,741,990</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beverages &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Culligan International Co., Loan (Second Lien), 5.18%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/24/13</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>844,226</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Le-Nature&#146;s, Inc., Tranche B Term Loan, 9.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/01/11 (b)(g)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>386,667</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,230,893</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 1.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Materials Corp. of America:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 6.00%, 9/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,444,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan Advance, 3.00%, 2/22/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,573</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,505,526</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Custom Building Products, Inc., Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.75%, 4/20/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,445,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goodman Global, Inc., Term Loan, 6.25%, 2/13/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,343</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,348,245</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 2.67%, 12/04/13</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>992</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,212,267</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>United Subcontractors, First Lien Term Loan, 1.76%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/30/15</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,834</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,077,497</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Co., LLC, Term Loan, 5.25% &#150; 7.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>381</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>241,724</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nuveen Investments, Inc., Term Loan, 3.25% &#150; 3.32%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/13/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,359</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,182,497</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,424,221</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="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (a)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 3.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ashland Inc., Term B Borrowing, 7.65%, 5/13/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>548</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 554,127</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brenntag AG, Term Loan B, 2.77%, 11/24/37</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>276</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>364,972</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brenntag Holding GmbH &amp; Co. KG:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility 3A (Second Lien), 5.02%, 3/21/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>115</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>149,313</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility 3B (Second Lien), 4.25%, 7/17/15</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>476,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility 3B (Second Lien), 5.02%, 3/15/16</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>385</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500,026</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B6A and B6B, 2.77%, 11/24/37</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>213</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>282,559</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chemtura Corp. Debtor in Possession Return of Capital</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 6.00%, 1/26/11</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,550</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,556,781</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cognis GmbH, Facility B (French):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.71%, 11/16/13</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>197</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>254,339</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.71%, 11/17/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>803</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,038,553</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.25%, 5/31/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>447</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>355,577</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ElectricInvest Holding Co. Ltd. (Viridian Group PLC),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Junior Term Facility, 5.04%, 12/21/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,111,586</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gentek Holding, LLC, Tranche B Term Loan, 7.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/29/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>703,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Huish Detergents Inc., Tranche B Term Loan, 2.01%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,231</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,181,818</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ineos US Finance LLC, Term A4 Facility, 7.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/14/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>294</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>278,172</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nalco Co., Term Loan, 6.50%, 5/13/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,065</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,079,077</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PQ Corp. (fka Niagara Acquisition, Inc.), Original</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 3.48% &#150; 3.50%, 7/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,940</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,605,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rockwood Specialties Group, Inc., Term Loan H, 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,936</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,941,357</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia Inc., Loan, 7.25%, 2/28/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,284</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300,657</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tronox Worldwide LLC, Tranche B-1 Term Loan, 9.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/24/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,900</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,949,780</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,684,169</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ARAMARK Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Facility, 2.11%, 1/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>176,173</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan, 2.13%, 1/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,808</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,678,830</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Casella Waste Systems, Inc, Term B Loan, 7.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/09/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>632</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>635,774</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SIRVA Worldwide, Inc., Loan (Second Lien), 12.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/12/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,487</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.23%, 4/02/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,702</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,381,833</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>West Corp., Incremental Term B-3 Loan, 7.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/24/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,458</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,492,662</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,392,759</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safway First Out Term Loan, 9.00%, 12/14/17</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#151; 1.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chrysler Financial Corp. Return of Capital, 4.24%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/03/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,650,313</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaimlerChrysler Financial Services Americas LLC,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 4.24%, 8/03/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,932</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,843,832</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,494,145</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Anchor Glass Term Loan B, 6.00%, 2/18/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,196,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graham Packaging Co., LP, B Term Loan, 2.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/07/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,478</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,457,958</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit-Stone Container, Revolving Credit:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.01% &#150; 4.50%, 11/01/09</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>459</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>456,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.20% &#150; 5.00%, 11/12/09</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>152</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>151,591</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit-Stone Container Canada, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C, 2.50%, 11/01/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>198</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195,419</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-1 Term Loan, 2.50%, 11/01/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>60</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>59,084</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, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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="64%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (a)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging (concluded)</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit-Stone Container Enterprises, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deposit Funded Facility, 4.50%, 11/01/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>92</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 91,124</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B, 2.50%, 11/01/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>105</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>103,702</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,711,848</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Service Corp., Term Loan, 3.26%, 11/14/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,667</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,036,667</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Laureate Education Term Loan B, 7.00%, 8/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,491</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,459,567</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,496,234</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., Tranche 2A Term Loan, 9.50% &#150; 9.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/20/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,338</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,443,227</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Professional Service Industries, Inc., Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 2.98%, 10/31/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>526</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>263,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Holdings Inc., US Term Loan, 6.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/05/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,408,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,115,196</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#151; 1.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cavtel Holdings, LLC, Term Loan, 2.00% &#150; 8.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/31/12 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,194</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,022,026</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawaiian Telcom Communications, Inc., Tranche C</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,938</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,458,142</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.50%, 8/31/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,467</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,466,576</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Telepacific Corp., Second Lien Term Loan, 7.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/25/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,175</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,177,203</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wind Telecomunicazioni SpA, A1 Term Loan Facility,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.92%, 9/22/12</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,081</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,725,660</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,849,607</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TPF Generation Holdings, LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit Deposit (First Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.25%, 12/15/13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>151</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>145,148</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Revolving Deposit, 2.25%, 12/15/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45,501</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 2.23%, 12/15/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375,623</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>566,272</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Electrical Components International Holdings Co. (ECI),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (Second Lien), 11.50%, 5/01/14 (b)(g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Generac Acquisition Corp., Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.75%, 11/10/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>682</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>625,142</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>675,142</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp;</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Components &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Flextronics International Ltd.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A Closing Date Loan, 2.48% &#150; 2.50%, 10/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,190</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,124,022</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.50%, 10/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,699</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,569,985</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matinvest 2 SAS/ Butterfly Wendel US, Inc. (Deutsche</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Connector):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B-2 Facility, 2.75%, 6/22/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>478</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>373,989</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>C-2 Facility, 3.00%, 6/22/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>829</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>648,863</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,716,859</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp., Tranche D Term Loan, 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/03/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,726</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,676,266</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Trinidad USA Partnership LP, US Term Loan, 2.73%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/01/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>938,389</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,614,655</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#151; 1.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AB Acquisitions UK Topco 2 Ltd. (fka Alliance Boots),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.54%, 7/09/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,780,909</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DS Waters of America, Inc., Term Loan, 4.25%, 3/02/12 USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>352,000</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="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (a)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing (concluded)</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pilot Travel Centers Term Loan B, 3.50%, 11/18/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,516,226</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/10/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,150</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,227,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,876,535</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#151; 1.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dole Food Co., Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit-Linked Deposit, 7.89%, 4/12/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>279,689</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 3.50%, 2/10/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>824</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>823,941</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 5.50%, 2/10/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,976</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,977,459</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 8.00%, 4/12/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486,395</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michael Foods, Term Loan B, 6.50% &#150; 6.75%, 4/24/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,375</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,380,606</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pilgrim&#146;s Pride Corp. Term Loan A, 5.29%, 12/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,083,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pinnacle Foods Finance LLC, Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 4/02/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,800</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,811,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solvest, Ltd. (Dole), Tranche C Term Loan, 8.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/12/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,578,124</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,421,214</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Biomet, Inc., Dollar Term Loan, 3.23% &#150; 3.25%, 3/25/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,670</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,615,045</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.23%, 5/20/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,212</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,137,091</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,752,136</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 2.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCS Medical, Inc. (Chronic Care), Loan (Debtor in</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Possession), 13.00%, 3/31/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,247</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.50%, 7/25/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>274</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>256,333</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Term Loan, 2.48% &#150; 2.50%, 7/25/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,371</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,018,083</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Catalent Pharma Solutions, Inc. (fka Cardinal</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Health 409, Inc.), Euro Term Loan, 2.67%, 11/19/37 EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>653</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>787,299</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaVita Inc., Tranche B-1 Term Loan, 1.73% &#150; 1.76%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/05/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>585,975</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA Inc., Tranche A-1 Term Loan, 1.75%, 11/16/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,324</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,195,189</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HealthSouth Corp., Term Loan, 2.51%, 3/10/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,261</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,219,679</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vanguard Health Systems Term Loan B, 5.00%, 1/29/16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,802,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,896,055</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Healthcare Term Loan B, 5.25%, 2/16/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,012,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunquest Information Systems, Inc. (Misys Hospital</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Systems, Inc.), Term Loan, 3.48%, 10/13/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>368</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>337,566</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,349,566</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels Restaurants &amp; Leisure &#151; 5.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLB Worldwide Holdings, Inc. (Wembley, Inc.), First</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Priority Term Loan, 4.75%, 7/18/11 (b)(g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,989</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,362,469</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.50%, 7/13/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,481</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,459,568</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cedar Fair LP Term Loan B, 4.00%, 2/04/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,246,485</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Green Valley Ranch Gaming, LLC, Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.50%, 8/16/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrah&#146;s Operating Co., Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-1 Loan, 3.25%, 1/28/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>449</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>361,615</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-3 Loan, 3.25%, 1/28/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>546</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>440,197</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-4 Loan, 9.50%, 10/31/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,250</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,246,527</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>OSI Restaurant Partners, LLC, Pre-Funded Revolving</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Loan, 0.07% &#150; 2.56%, 6/14/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,486</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.98% &#150; 2.00%, 10/03/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,828</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,769,103</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>QCE, LLC (Quiznos), Term Loan (Second Lien), 2.56%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/05/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>955</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>814,529</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SW Acquisitions Co., Inc., Term Loan, 5.75%, 6/01/16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,250</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,264,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Six Flags Theme Parks, Inc. Term Loan, 4.50%, 6/13/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,678,312</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Travelport LLC (fka Travelport Inc.), Loan, 8.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/27/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,822</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,411,737</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Universal City Development Term Loan B, 7.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/06/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,771,094</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30,004,341</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, 2010 33</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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="65%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (a)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berkline/Benchcraft, LLC., Term Loan, 14.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/03/11 (b)(f)(g)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>116</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,776</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Products &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Central Garden &amp; Pet Co., Tranche B Term Loan, 3.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/30/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>985</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>930,466</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amadeus IT Group SA / Amadeus Verwaltungs GmbH:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B3 Facility, 2.43%, 6/30/13</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>307</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>399,336</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B4 Facility, 2.43%, 6/30/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>184</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>238,423</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term C3 Facility, 2.93% , 6/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>491</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>637,759</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Audio Visual Services Group, Inc., Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.76%, 8/28/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,077</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>107,704</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ceridian Corp., US Term Loan, 3.23% &#150; 3.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/09/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,385</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,211,163</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan, 2.98%, 9/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,818</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,461,785</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.00%, 9/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,231</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,073,629</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.00%, 9/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>560</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>487,080</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RedPrairie Corp., Term Loan B, 3.31%, 7/20/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>564</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>546,680</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Incremental Term Loan, 6.75%, 2/28/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,191</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,195,123</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Travelex Plc:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 0.00%, 10/31/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>456,666</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 3.29%, 10/31/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>456,667</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,272,015</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Texas Competitive Electric Holdings Co., LLC (TXU):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.73% &#150; 3.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,571</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,067,244</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.73% &#150; 3.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,719</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,174,968</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,242,212</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24 Hour Fitness Worldwide, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.76%, 6/08/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>543,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 1.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accuride Term Loan, 9.75%, 1/31/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,935</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,928,886</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Blount International Term Loan, 5.50% &#150; 5.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/09/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>648</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>646,168</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bucyrus International Term Loan C, 4.50%, 1/26/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,010,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LN Acquisition Corp. (Lincoln Industrial), Initial Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Second Lien), 5.98%, 1/09/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,260,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Oshkosh Truck Corp., Term B Loan, 6.25% &#150; 6.26%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/06/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,364</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,362,855</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,208,509</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 10.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group Holdings, Inc., Loan, 7.89%, 3/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,091</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,030,755</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alpha Topco Ltd. (Formula One), Facility D, 3.82%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>873,889</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Atlantic Broadband, Term Loan B, 6.75%, 6/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>931</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>927,809</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.51%, 9/01/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,001</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Catalina Marketing Corp., Initial Term Loan, 2.98%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>587</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>566,420</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc. (Thomson Learning),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,094</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,052,813</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cequel Communications, LLC, Tranche B Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Second Lien), 6.25%, 5/05/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,738</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,744,160</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Charter Communications Operating, LLC, New Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.23%, 3/06/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,529,404</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FoxCo Acquisition Sub, LLC, Term Loan, 7.50%, 7/14/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,888</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,812,806</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="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (a)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp; &nbsp; &nbsp; &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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media (concluded)</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hanley-Wood, LLC (FSC Acquisition), Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.50% &#150; 2.56%, 3/10/14</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,707</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,209,008</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HIT Entertainment, Inc., Term Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 2/26/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>572,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Publishing Co. Ltd.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mezzanine, 17.50%, 11/14/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,007</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>247,581</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 5.48%, 6/12/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,641</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,380,154</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harland Clarke Holdings Corp. (fka Clarke</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Corp.), Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.73% &#150; 2.75%, 6/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,462</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,278,383</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Insight Midwest Holdings, LLC, B Term Loan, 2.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/07/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,550</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,488,242</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Corp. (fka PanAmSat Corp.):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-A Term Loan, 2.73%, 1/03/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>584</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>555,635</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-B Term Loan, 2.73%, 1/03/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>584</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>555,465</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-C Term Loan, 2.73%, 1/03/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>584</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>555,465</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lamar Media Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B Incremental Loan, 5.50% &#150; 5.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/28/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,985</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,970,117</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 5.50% &#150; 5.75%, 9/28/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,732</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,718,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.34%, 6/30/15</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>337</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>314,143</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C1, 3.59%, 6/30/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>337</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>314,143</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility D, 4.71%, 12/28/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>904</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>663,874</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MCC Iowa LLC (Mediacom Broadband Group), Tranche E</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 6.50%, 1/03/16</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>447</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450,172</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MCNA Cable Holdings LLC (OneLink Communications),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 7.23%, 3/01/13 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,933</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,508,054</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mediacom Illinois, LLC (fka Mediacom</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Communications, LLC), Tranche D Term Loan, 5.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/31/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>998</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>996,243</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20.50%, 4/09/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,019</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>612,415</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Multicultural Radio Broadcasting, Inc., Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 12/18/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>304</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>241,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Vision Exit Term Loan, 13.00%, 10/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>160</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>160,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,505</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,814,719</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A Dollar Term Loan, 2.23%, 8/09/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,026</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>965,947</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B Dollar Term Loan, 3.98%, 5/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,704</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,618,271</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Penton Media, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 9.25%, 2/01/14 (b)(g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>133,333</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 2.48% &#150; 2.50%, 2/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,094</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>798,666</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Protostar Ltd., Debtor in Possession Term Loan, 18.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/15/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>692</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>691,656</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Springer Science+Business Media SA, Facility A1, 6.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/01/16</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,287,808</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunshine Acquisition Ltd. (aka HIT Entertainment),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 2.50%, 3/20/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,407</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,116,241</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,488</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,491,780</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Telecommunications Management, LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Multi-Draw Term Loan, 3.48%, 6/30/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>231</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>189,536</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.48%, 6/30/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>917</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>751,735</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Financing Partnership, Facility U, 4.99%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/31/17</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,838</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,331,070</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Investment Holdings Ltd., C Facility, 3.58%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/17/13</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,848,852</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Worldcolor Press, Inc. and Worldcolor (USA) Corp.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(fka Quebecor World, Inc.), Advance, 9.00%, 7/23/12</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,295</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,308,259</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yell Group Plc, Term Loan B, 3.98%, 7/31/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,817</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,365,829</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yell Group Plc TPI Term Loan A, 7.12%, 8/09/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>898</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>859,788</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>61,938,116</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>34 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
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<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="65%"></TD>
     <TD width="5%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (a)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FirstLight Power Resources, Inc. (fka NE Energy, Inc.):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 2.76%, 11/01/13</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>83</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 77,251</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Advance (First Lien), 2.75%, 11/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>899</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>839,093</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MACH Gen, LLC, Synthetic Letter of Credit Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 2.25%, 2/22/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63,604</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>979,948</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp., Tranche B-2 Term Loan, 2.98%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/07/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>213</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>205,314</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hema Holding BV, Facility D, 5.42%, 1/01/17</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,600</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,973,856</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Neiman Marcus Group Inc., Term Loan, 2.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/06/13</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>314,145</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,493,315</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Big West Oil, LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,268</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,242,334</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,007</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>987,220</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Advance Loan, 9.75%, 1/26/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,261,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coffeyville Resources, LLC, Tranche D Term Loan, 8.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/30/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>735</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>739,376</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Drummond Co., Inc., Term Advance, 1.48%, 2/14/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>825</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Niska Gas Storage Canada ULC, Canadian Term Loan B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.98%, 5/12/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>448</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>429,357</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Niska Gas Storage US, LLC, US Term B Loan, 1.98%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/12/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45,107</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Niska Gas Storage US, LLC, Wild Goose Acquisition</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Draw-US Term B, 1.98%, 5/12/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30,555</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,107</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,330,043</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,865,492</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgia-Pacific LLC, Term Loan B:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.24% &#150; 2.25%, 12/20/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,677</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,638,086</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.25% &#150; 2.26%, 12/23/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,245</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,169,217</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Finance Holdings LLC, Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50% &#150; 7.25%, 2/01/13 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>621</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>341,337</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,148,640</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Personal Products &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Safety Razor Co., LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 2.75% &#150; 2.76%, 7/31/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>723</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>656,472</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 6.51%, 1/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,925</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,126,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,782,597</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Co., LLC, Term A Loan, 5.50%, 10/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>881</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>881,135</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Corp., Term B-1 Loan, 5.75%, 4/30/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,755</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,754,568</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,635,703</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Booz Allen Hamilton, Inc., Term Loan C, 6.00%, 7/31/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,504,687</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Enclave, First Lien Term Loan, 6.14%, 3/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325,689</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgian Towers, Term Loan, 2.25% &#150; 2.26%, 3/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>310,104</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.00%, 8/31/11 (b)(g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term B Loan, 3.25%, 10/10/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,618</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,308,867</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term B Loan, 3.25%, 10/10/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>982</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>866,236</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 3.23%, 10/10/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>264</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>233,218</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (Second Lien), 13.50%, 10/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,446,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,528,489</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="19%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (a)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bankruptcy Management Solutions, Inc., Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 4.23%, 7/31/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 935 $</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>631,293</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Adesa, Inc. (KAR Holdings, Inc.), Initial Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.98%, 10/21/13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,018</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>981,507</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.50% -2.56%, 10/31/13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,798</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,619,617</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 4.75% &#150; 4.81%, 7/31/16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>671</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>638,871</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Orchard Supply Hardware, Term Loan B, 2.68%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/21/13</FONT>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,340,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,580,095</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>St. John Knits International, Inc., Term Loan, 9.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/23/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>571</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>513,571</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beacon Sales Acquisition, Inc., Term B Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.23% &#150; 2.25%, 9/30/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,089,933</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel International Finance Ltd., Tranche A, 2.81%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/30/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,884</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,738,477</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Floating Rate Loan Interests &#151; 50.1%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>302,441,912</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Foreign Agency Obligations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Peru Government International Bond, 8.38%, 5/03/16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,871</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,930,443</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Turkey Government International Bond, 7.00%, 9/26/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,602,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Foreign Agency Obligations &#151; 1.9%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,532,743</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Non-Agency Mortgage Backed Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Mortgage-Backed Securities &#151; 2.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wachovia Bank Commercial Mortgage Trust,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-C33, Class A2, 5.86%, 2/15/51 (a)(h)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,576,712</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Non-Agency Mortgage Backed Securities &#151; 2.6%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,576,712</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beneficial</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Interests (i)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dayco Products LLC Mark IV Industrials, Inc.</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>203,192</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi Debtor in Possession Holding Co. LLP,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B Membership Interests</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;(j)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,338,579</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lear Corp. Escrow</FONT>&nbsp;</TD>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,556,771</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J.G. Wentworth LLC, Preferred Equity Interests</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,257,920</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Critical Care Systems International, Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berkline Benchcraft Equity LLC</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Other Interests &#151; 1.1%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,816,216</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=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 35</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_37"></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="57%"></TD>
     <TD width="7%"></TD>
     <TD width="16%"></TD>
     <TD width="19%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CMP Susquehanna Radio Holdings Corp. (k)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45,243</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ &#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lazydays RV Center, Inc. (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>224</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>223,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Preferred Stocks &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>223,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>U.S. Government Sponsored</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Agency Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Mortgaged-Backed Securities &#151; 22.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fannie Mae Mortgage Backed Securities:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 3/15/25 &#150; 4/15/25 (l)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>127,354,002</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,780</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,119,189</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 3/01/32</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>226</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240,118</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 7/01/33 (m)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,433</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total U.S. Government Sponsored</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Agency Securities &#151; 22.1%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>133,728,742</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>U.S. Treasury Obligations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Treasury Notes, 4.25%, 8/15/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,815</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,982,887</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total U.S. Treasury Obligations &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,982,887</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Warrants (n)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CMP Susquehanna Radio Holdings Corp. (expires</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/26/19)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,701</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Turbo Cayman Ltd. (no expiration)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $755,528,446) &#151; 120.4%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>727,565,598</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund, Institutional</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class, 0.10% (o)(p)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,179,987</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,179,987</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $32,179,987) &#151; 5.3%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,179,987</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Call Options &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco LLC,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Strike Price $942.86, Expires 12/21/19,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Goldman Sachs Bank USA</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,740</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Purchased</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $44,978) &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,740</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments (Cost &#151; $787,753,411*) &#151; 125.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>759,754,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#151; (25.7)%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(155,382,595)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$604,371,730</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="4%"></TD>
     <TD width="9%"></TD>
     <TD width="11%"></TD>
     <TD width="8%"></TD>
     <TD width="13%"></TD>
     <TD width="19%"></TD>
     <TD width="15%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The cost and unrealized appreciation (depreciation) of investments as of February 28,</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2010, as computed for federal income tax purposes, were as follows:</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 788,309,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18,987,503</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(47,542,203)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized depreciation</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (28,554,700)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Non-income producing security.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Convertible security.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Represents a zero-coupon bond. Rate shown reflects the current yield as of</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>report date.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Represents a payment-in-kind security which may pay interest/dividends in</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional face/shares.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Issuer filed for bankruptcy and/or is in default of interest payments.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) All or a portion of security has been pledged as collateral in connection with</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TALF Program.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) Other interests represent beneficial interest in liquidation trusts and other reorgani-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>zation entities and are non-income producing.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(j) Amount is less than $1,000.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(k) Security is perpetual in nature and has no stated maturity date.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(l) Represents or includes a &#147;to-be-announced&#148; (&#147;TBA&#148;) transaction. Unsettled TBA</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transactions as of report date were as follows:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=left><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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 127,354,002</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 182,315</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(m) All or a portion of security has been pledged as collateral in connection with open</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial futures contracts.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(n) Warrants entitle the Fund to purchase a predetermined number of shares of com-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mon stock and are non-income producing. The purchase price and number of</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shares are subject to adjustment under certain conditions until the expiration date.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(o) Investments in companies considered to be an affiliate of the Fund, for purposes of</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=7 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity</FONT></B>&nbsp;&nbsp;&nbsp; </TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (64,491,579)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 41,202</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(p) Represents the current yield as of report date.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of February 28, 2010 were as follows:</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Settlement&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Appreciation</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><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" align=right><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" align=right><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" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Depreciation)</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp;&nbsp;&nbsp;&nbsp; 30,670,173&nbsp;&nbsp;&nbsp;&nbsp;EUR&nbsp;&nbsp;&nbsp;&nbsp; 21,311,000</FONT></TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/24/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,653,301</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>153,000</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>209,882&nbsp;</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/24/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,149)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>601,200</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;USD</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>943,411&nbsp;</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/21/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(27,065)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,593,960&nbsp;&nbsp;&nbsp;GBP</FONT>&nbsp;</TD>
     <TD colSpan=3 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>988,000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank AG&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4/21/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>88,055</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,076,687&nbsp;&nbsp;GBP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,224,000</FONT>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp; Morgan Stanley</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Services, Inc.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4/21/10</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>590,097</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,303,239</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts purchased as of February 28, 2010 were as follows:</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><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" align=right><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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;&nbsp;&nbsp;&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=center><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" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June 2010</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp; 5,188,611&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$ 28,377</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, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_38"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded) </FONT><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="2%"></TD>
     <TD width="17%"></TD>
     <TD width="11%"></TD>
     <TD width="20%"></TD>
     <TD width="14%"></TD>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD colSpan=6 align=left><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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2010 were as follows:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pay</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>
     <TD colSpan=2 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>
     <TD colSpan=2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expiration</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Depreciation)</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>K. Hovnanian</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; December</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank USA</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 800</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (5,149)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>K. Hovnanian</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; December</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank USA</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2012</FONT>&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 600</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,118</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,031)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD colSpan=7 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or rating group indexes, and/or as defined by Fund management.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><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 such</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>industry sub-classifications for reporting ease.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fair Value Measurements &#151; Various inputs are used in determining the fair value of</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments, which are as follows:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#151; price quotations inactive markets/exchanges for identical assets</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and liabilities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,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 for</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar assets or liabilities in markets that are active, quoted prices for identical</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or similar assets or liabilities in markets that are not active, inputs other than</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left>&nbsp; &nbsp;<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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default rates) or other market- corroborated inputs)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstances, to the extent observable inputs are not available (including the</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s own assumptions used in determining the face value of investments)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodologies used for valuing securities are not necessarily an indi-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cation of the risk associated with investing in those securities. For information about</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=7 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>policies, please refer to the Note 1 of the Notes to Financial Statements.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="21%"></TD>
     <TD width="4%"></TD>
     <TD width="15%"></TD>
     <TD width="3%"></TD>
     <TD width="16%"></TD>
     <TD width="19%"></TD>
     <TD width="2%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of February 28, 2010 in deter-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mining the fair valuation of the Fund&#146;s investments:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=8 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in Securities</FONT></B></TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term Investments:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset-Backed</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9,345,317</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,766,839</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12,112,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Stocks</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 852,160</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>362,363</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>138,744</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,353,267</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>238,424,471</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,372,692</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>241,797,163</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan Interests</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>228,933,277</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73,508,635</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>302,441,912</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign Agency</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Obligations</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,532,743</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,532,743</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non-Agency</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mortgage-Backed</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,576,712</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,576,712</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,801,216</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,816,216</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Preferred Stocks</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>223,800</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>223,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Government</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sponsored Agency</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>133,728,742</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>133,728,742</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Treasury</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Obligations</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,982,887</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,982,887</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Short Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,179,987</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,179,987</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 33,032,147</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$639,901,512</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 86,811,926</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$759,745,585</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=8 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Financial Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B></TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets</FONT>&nbsp;</TD>
     <TD colSpan=3 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 28,377&nbsp; $</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,344,311</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,550</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,374,238</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Liabilities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(33,363)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(82,039)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(115,402)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 28,377</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,310,948</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (80,489) $</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,258,836</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 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>Other financial instruments are swaps, foreign currency exchange contracts,</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>options and unfunded loan commitments. Swaps, foreign currency exchange</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts and unfunded loan commitments are shown at the unrealized appre-</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ciation/depreciation on the instrument and options are shown at value.</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="33%"></TD>
     <TD width="11%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD>
     <TD width="9%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Preferred</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Stocks</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Stocks</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2009</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,668,212</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 81,956</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,270,943</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$83,910,390</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 504,368</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 93,435,869</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized gain (loss)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(805,867)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,708,595)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(29,532)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,543,994)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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>2</FONT></SUP>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98,627</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,558</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,679,827</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,096,018</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,571,581</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,450,611</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net purchases (sales)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,313,951)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(17,998,932)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(23,312,883)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net transfers in/out of Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>52,230</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,458,260)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,790,246)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,754,799</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 223,800</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,217,677)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance, as of February 28, 2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,766,839</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 138,744</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,372,692</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$73,508,635</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,801,216</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 223,800</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 86,811,926</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left><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>Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in unrealized appreciation/depreciation on securities</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>still held at February 28, 2010 was $14,894,205.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="67%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 other financial instruments for which significant</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unobservable inputs were used to determine fair value:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>3</FONT></SUP></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2009</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 63,812</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized gain (loss)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net purchases (sales)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net transfers in/out of Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(62,262)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (82,039)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance as of February 28, 2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,550</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (82,039)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>Other financial instruments are unfunded loan commitments.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&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=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 37</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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     <TD align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Assets and Liabilities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Defined</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Limited</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Opportunity</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Duration</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Trust</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund, Inc.</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund, Inc.</FONT></B>&nbsp;</TD>
     <TD align=center><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" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2010 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><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" align=center><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" align=center><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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BLW)</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 147,264,593</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 160,134,341</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 316,081,614</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 727,574,338</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,618,127</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,615,121</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,442,325</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,179,987</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on foreign currency exchange contracts</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>756,237</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>410,722</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>974,775</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,331,453</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on unfunded loan commitments</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,410</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,737</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,813</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on swaps</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,712</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,118</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>214,110</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>199,081</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,619,118</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,090,253</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>496,388</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash pledged as collateral in connection with swaps</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,200,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments sold receivable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,183,450</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,194,764</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,409,182</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>96,137,091</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest receivable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,142,398</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,766,095</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,820,307</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,256,672</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Principal paydown receivable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>144,438</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195,776</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>183,355</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>820,421</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swap premium paid</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,463</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>91,170</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income receivable &#151; affiliated</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>598</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends receivable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,822</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps receivable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>71,970</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,778</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitment fees receivable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>468</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>344</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,692</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Margin variation receivable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Prepaid expenses</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48,790</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>43,771</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>88,878</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>60,055</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63,900</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>492,614</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>159,380,021</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>172,920,907</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>342,141,937</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>869,051,591</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank overdraft</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,182</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,000,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,000,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,000,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,744,165</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on foreign currency exchange contracts</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,487</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,214</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on unfunded loan commitments</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,408</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,408</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>95,429</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>82,039</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on swaps</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,025,599</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,149</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments purchased payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,367,817</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,245,895</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33,932,956</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>251,044,772</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment advisory fees payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>111,065</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>90,955</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>182,014</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>257,106</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>92,073</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,611</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income dividends payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>76,964</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>96,812</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest expense payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47,667</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>58,931</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>115,970</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56,940</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>218</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>215</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>738</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>141,088</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other affiliates payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>466</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>426</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,270</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,545</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other accrued expenses payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>214,878</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>93,987</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>104,864</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>157,342</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other liabilities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>399,955</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>101,768</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,896</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,871,970</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,024,444</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>80,536,009</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>264,679,861</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 120,508,051</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 126,896,463</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 261,605,928</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 604,371,730</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Paid-in capital</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,5,6</FONT></SUP>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 127,810,765</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 229,734,137</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 349,990,822</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 701,342,104</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Undistributed (distributions in excess of) net investment income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(417,467)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,069,852)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,389,038)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>671,459</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accumulated net realized loss</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,843,702)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(79,799,548)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(68,976,767)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(72,426,242)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,958,455</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,968,274)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(18,019,089)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(25,215,591)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 120,508,051</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 126,896,463</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 261,605,928</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 604,371,730</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 13.38</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.30</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.24</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16.38</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 146,018,527</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 180,502,330</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 335,061,136</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 755,573,424</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,618,127</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,615,121</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,442,325</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 32,179,987</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 215,319</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 200,369</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,689,320</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,088,344</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 0.001</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 0.001</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,322,083</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,371,617</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,889,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<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>Shares authorized</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unlimited</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200 million</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200 million</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unlimited</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>38 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
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     <TD align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Assets and Liabilities (concluded)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;&nbsp;&nbsp; </TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior Floating</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior Floating</FONT></B>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2010 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate Fund II, Inc.</FONT></B>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
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     <TD 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 306,223,524</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 156,073,806</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital shares sold receivable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>506,830</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>698,675</FONT>&nbsp;</TD></TR>
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     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>192,029</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>101,804</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>306,922,383</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>156,874,285</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income dividends payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,065,616</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>501,379</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Contributions payable to the Master LLC</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>506,830</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>698,675</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Administration fees payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>58,069</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47,175</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other affiliates payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,102</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD></TR>
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     <TD 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>402</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>202</FONT>&nbsp;</TD></TR>
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     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>146,633</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>61,885</FONT>&nbsp;</TD></TR>
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     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,781,652</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,310,066</FONT>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 305,140,731</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 155,564,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Paid-in capital</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 655,175,715</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 224,431,161</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Undistributed net investment income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,030,342</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,358</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accumulated net realized loss allocated from the Master LLC</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(328,655,275)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(59,386,708)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation/depreciation allocated from the Master LLC</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(22,410,051)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,484,592)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 305,140,731</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 155,564,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.54</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.17</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 328,633,575</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 165,558,398</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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, par value $0.10 per share, 1 billion shares authorized</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,453,407</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,044,477</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=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 39</FONT></P>
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     <TD align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Operations</FONT>&nbsp;</TD>
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     <TD align=left>&nbsp;</TD>
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     <TD align=left>&nbsp;</TD>
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     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Defined</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>
     <TD align=left>&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 align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Opportunity</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Duration</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Trust</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund, Inc.</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund, Inc.</FONT></B>&nbsp;</TD>
     <TD align=center><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" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended February 28, 2010 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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" align=center><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" align=left>&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" align=left>&nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BLW)</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,640,353</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,922,488</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10,024,717</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 20,517,199</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility and other fees</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>81,636</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,074</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>155,046</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>662,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,405</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,200</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,046</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47,811</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,724,394</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,973,762</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,182,809</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,227,110</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment advisory</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>709,522</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>541,770</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,129,581</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,604,714</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>84,610</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>74,834</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>137,203</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,195</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Professional</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72,797</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,219</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>66,464</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Custodian</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,726</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,600</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,660</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>68,535</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Printing</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,446</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,402</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,157</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>118,889</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accounting services</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,527</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,959</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33,198</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,659</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfer agent</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,497</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,762</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,437</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,074</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer and Directors</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,852</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,802</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,496</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>43,260</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Registration</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,879</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,543</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,035</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,016</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,504</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,097</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,047</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses excluding interest expense</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>983,606</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>760,395</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,513,328</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,038,952</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>153,005</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143,722</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>301,704</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87,333</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,136,611</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>904,117</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,815,032</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,126,285</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Less fees waived by advisor</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,051)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(976)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,347)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(18,003)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,135,560</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>903,141</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,813,685</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,108,282</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,588,834</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,070,621</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,369,124</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,118,828</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss) from:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(413,154)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10,900,510)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10,278,981)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,058,606)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>146,933</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(643,991)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,205,766)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(246,028)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(424,620)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(114,599)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(754,689)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(678,118)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(837,774)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,659,100)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,239,436)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,835,819)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation on:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,101,599</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,613,664</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,227,210</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,147,641</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,117,407</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,110,590</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>82,828</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency transactions</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>943,834</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>520,006</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,495,221</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,985,372</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded loan commitments</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(69,515)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(50,681)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(37,711)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(144,301)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,975,918</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,200,396</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,795,310</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56,077,840</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total realized and unrealized gain</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,138,144</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,541,296</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,555,874</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,242,021</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Increase in Net Assets Resulting from Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10,726,978</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24,611,917</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 32,924,998</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 68,360,849</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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>See Note 9 of the Notes to Financial Statements for details of borrowings.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><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>40 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<TR>
     <TD width="69%"></TD>
     <TD width="20%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Operations (concluded)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right>&nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;&nbsp;&nbsp; </TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Blackrock</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior Floating</FONT></B>&nbsp;</TD>
     <TD 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" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended February 28, 2010 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9,697,203</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,820,149</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income &#151; affiliated</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,913</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,061</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility and other fees</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>123,431</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>61,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,622,682)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(806,759)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,207,865</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,079,670</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Administration</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>380,282</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>302,477</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfer agent</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143,097</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,519</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tender offer</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63,697</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35,241</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Professional</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,836</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Printing</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>44,650</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,128</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Registration</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,835</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,828</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer and Directors</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>481</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>243</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,729</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,417</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>707,607</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>454,366</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,500,258</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,625,304</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized loss from investments, swaps and foreign currency transactions</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(13,667,157)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,770,208)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation on investments, swaps and foreign currency transactions</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30,014,754</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,797,879</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total realized and unrealized gain</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,347,597</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,027,671</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Increase in Net Assets Resulting from Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 23,847,855</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11,652,975</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=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 41</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="55%"></TD>
     <TD width="34%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD 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 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 vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp; </TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD align=center><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" 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" 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" align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,588,834</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,823,996</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized loss</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(837,774)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,261,039)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,975,918</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,306,747)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,726,978</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,743,790)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,080,977)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,810,137)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(88,324)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,080,977)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,898,461)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>809,153</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total increase (decrease) in net assets</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,646,001</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(14,833,098)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>112,862,050</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 120,508,051</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 112,862,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (417,467)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (925,324)</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="52%"></TD>
     <TD width="36%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 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 align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD 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" 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" 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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,070,621</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12,960,138</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized loss</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,659,100)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(51,026,972)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,200,396</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,137,200)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,611,917</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(46,204,034)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,430,266)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(13,947,075)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,882,990)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,430,266)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16,830,065)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>158,417</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>883,415</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total increase (decrease) in net assets</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,340,068</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(62,150,684)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>107,556,395</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 126,896,463</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 107,556,395</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,069,852)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (710,207)</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, 2010</FONT></P>
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     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD 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 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 vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></B>&nbsp;</TD>
     <TD 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" 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" 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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8,369,124</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 20,915,709</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized loss</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,239,436)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(45,729,155)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,795,310</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,488,290)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,924,998</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(34,301,736)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,971,165)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(23,842,077)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>492,531</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>298,574</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total increase (decrease) in net assets</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,446,364</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(57,845,239)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>237,159,564</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 261,605,928</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 237,159,564</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,389,038)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (786,997)</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="51%"></TD>
     <TD width="38%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 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>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></B>&nbsp;</TD>
     <TD 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 3px double" 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" 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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19,118,828</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 37,187,662</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized loss</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,835,819)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(37,468,788)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56,077,840</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,814,023)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>68,360,849</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(22,095,149)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(15,493,653)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(42,793,064)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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" 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=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total increase (decrease) in net assets</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>52,867,196</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(64,888,213)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>551,504,534</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>616,392,747</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 604,371,730</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 551,504,534</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Undistributed (distributions in excess of) net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 671,459</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (2,953,716)</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=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 43</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<TR>
     <TD width="57%"></TD>
     <TD width="32%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD 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 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>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010&nbsp;&nbsp;&nbsp;&nbsp;</FONT></B>&nbsp;</TD>
     <TD align=center><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" 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" 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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,500,258</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17,486,074</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized loss</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(13,667,157)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(34,004,504)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30,014,754</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,952,665)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,847,855</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(28,471,095)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,718,970)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(17,470,993)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(22,650,549)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(41,795,738)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total decrease in net assets</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,521,664)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(87,737,826)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>311,662,395</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>399,400,221</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 305,140,731</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 311,662,395</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Undistributed net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,030,342</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,249,054</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="53%"></TD>
     <TD width="36%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 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 vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
     <TD 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" 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" 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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,625,304</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,880,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized loss</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,770,208)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(15,895,082)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,797,879</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,973,635)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,652,975</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,987,967)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,734,675)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,332,675)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,701,126)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(14,969,362)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total increase (decrease) in net assets</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,217,174</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(36,290,004)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150,347,045</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 155,564,219</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 150,347,045</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Undistributed net investment income</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,358</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 113,729</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>44 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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     <TD align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Cash Flows</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified</FONT></B>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Defined</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Opportunity</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Trust</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund, Inc.</FONT></B>&nbsp;</TD>
     <TD align=center><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" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2010 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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" align=center><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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(FRA)</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase in net assets resulting from operations</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10,726,978</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24,611,917</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 32,924,998</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Adjustments to reconcile net increase in net assets resulting from operations to net cash provided</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by operating activities:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease (increase) in interest receivable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(412,716)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>502,591</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(426,010)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in cash pledged as collateral for swaps</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(600,000)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in swap receivable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,426</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>60,167</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in commitment fees receivable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(468)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(344)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,692)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in income receivable &#151; affiliated</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>241</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in other assets</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>106,457</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,692</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>61,990</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in other liabilties</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>101,768</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase (decrease) in investment advisor payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,474)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,506</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,939</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in interest expense payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,687</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,235</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77,480</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in other affiliates payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>60</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,420</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in accrued expenses payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>93,300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,123</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,231</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in swaps payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(30,223)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(73,465)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase (decrease) in officer&#146;s and directors&#146; payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>133</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(43)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>285</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in deferred income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(120,455)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(80,469)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(79,562)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swap premium received</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,292</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>234,207</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swap premium paid</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(153,204)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(419,097)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,423,456)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19,896,316)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(24,731,776)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,002,726)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(763,597)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,615,205)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,149)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(370,359)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,010,894)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in cash held as collateral on swaps</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(100,000)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>74,784,863</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>81,212,859</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>144,027,399</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases of long-term securities</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(69,380,782)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(87,965,404)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(150,216,625)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net proceeds (purchases) from sales of short-term investments</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,618,127)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>756,456</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>576,054</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,760,342</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,645,802)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(596,388)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash receipts from borrowings</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56,000,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>78,000,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>126,000,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash payments from borrowings</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(60,000,000)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(70,000,000)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(118,000,000)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash dividends paid to shareholders</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,104,411)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,272,571)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,643,137)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in custodian bank payable</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(43,905)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash used for financing activities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,104,411)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,727,429</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(687,042)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,277)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,702)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(77,217)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) in cash</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,345,346)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>79,925</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,360,647)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash and foreign currency at beginning of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,559,456</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>119,156</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,476,153</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash and foreign currency at end of period</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 214,110</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 199,081</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,115,506</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 130,318</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 103,487</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 224,224</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A Statement of Cash Flows is presented when a Fund has a significant amount of borrowing during the period, based on the average borrowing outstanding in relation to</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>average total assets.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&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=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 45</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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     <TD width="10%"></TD></TR>
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     <TD align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>
     <TD colSpan=3 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 vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Period</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;&nbsp;&nbsp; </TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>January 31,</FONT></B>&nbsp;&nbsp;&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD>
     <TD 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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010&nbsp;&nbsp;&nbsp;</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>to August 31,</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.53</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.87</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.47</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.79</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.21</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.68</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions from:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.34)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.09)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.62)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.06)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.10)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.68)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.02)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 13.38</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.53</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.62</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11.03</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.66</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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>4</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.88%</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" 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" 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>5</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17.73%</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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.65)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><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>5</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.95%</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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.39%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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>6</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly and excluding interest expense</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.69%</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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.94%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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>6</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.16%</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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.11%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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>6</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 120,508</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 112,862</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 127,695</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrowings outstanding, end of period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 23,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 38,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average borrowings outstanding, during the period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 25,633</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 31,141</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 13,788</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,239</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,180</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,317</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>Commencement of operations.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&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>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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>Based on average shares outstanding.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 align=left>&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>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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>Aggregate total investment return.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&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>46 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
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     <TD align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=6 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 align=left>&nbsp;</TD>
     <TD 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 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Period</FONT></B>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended&nbsp;&nbsp;&nbsp;</FONT></B>&nbsp;</TD>
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     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>January 31,</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD 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 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;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 align=left>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=3 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended August 31,</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></B>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp; 2005</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.74</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" colSpan=2 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.10</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.41</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.06</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.61</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.83</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.77</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.84</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.88)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.77)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.00</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3.82)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.07</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions from:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.44)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.14)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.72)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.80)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.70)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.75)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.24)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total dividends and distributions</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.75)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" 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" 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&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>3</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.04)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.30</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.74</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" colSpan=2 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.67</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.80</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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" colSpan=2 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17.53</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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>4</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23.33%</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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(23.82)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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>5</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26.89%</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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16.27)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=center><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>5</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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>6</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.47%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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>6</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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>6</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.47%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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>6</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly and excluding</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest expense</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.26%</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" 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" 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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>6</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.42%</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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13.63%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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>6</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 126,896</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 107,556</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" colSpan=2 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 219,748</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrowings outstanding, end of period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 26,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" colSpan=2 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 101,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average borrowings outstanding, during the period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24,177</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 28,247</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" colSpan=2 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 75,543</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>58%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,881</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,975</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" colSpan=2 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,167</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>Commencement of operations.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>Based on average shares outstanding.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>Amount is less than $(0.01) per share.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
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     <TD colSpan=7 align=left>&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>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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &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>Aggregate total investment return.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><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=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 47</FONT></P>
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     <TD align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=5 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 align=left>&nbsp;</TD>
     <TD 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 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
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     <TD align=left>&nbsp;</TD>
     <TD 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 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=center><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" align=left>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><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" 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" align=center><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" align=center><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 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.93</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.16</FONT>&nbsp;</TD></TR>
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     <TD 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.46</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.45</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.54</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.40</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.23</FONT>&nbsp;</TD></TR>
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     <TD 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3.04)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.08</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.90)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.31</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions from:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.49)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.29)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.55)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.54)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.37)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.11)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<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" 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" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.01)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.12)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.24</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.93</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.35</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15.64</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.26</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17.85</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.12%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8.88)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.27%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32.19%</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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3.88)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.47)%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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>4</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.96%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.18%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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>4</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.96%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.18%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly and excluding</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest expense</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.21%</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" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.22%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.67%</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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.18%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.34%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 261,606</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 237,160</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 354,114</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrowings outstanding, end of period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 46,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 38,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 123,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average borrowings outstanding, during the period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 50,740</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 50,591</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 117,702</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>58%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,687</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,241</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,865</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>Based on average shares outstanding.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left>&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>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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>Aggregate total investment return.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>Annualized.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></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>48 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
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     <TD 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=4 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 align=left>&nbsp;</TD>
     <TD 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 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Period</FONT></B>&nbsp;</TD>
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     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ended</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>November 1,</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
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     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007 to</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
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     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2010</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;&nbsp;&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended October 31,</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><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" 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" align=center><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" align=center><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" align=center><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 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.95</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.74</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.51</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.01</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>
     <TD 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>1</FONT></SUP>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.35</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.46</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.46</FONT>&nbsp;</TD></TR>
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     <TD 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.61)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.43</FONT>&nbsp;</TD></TR>
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     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.85</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.89</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions from:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.42)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.16)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.19)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.41)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.52)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.33)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.49)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.06)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.15)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.01)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" 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" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total dividends and distributions</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.42)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.16)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.50)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16.38</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.95</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 20.13</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15.64</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.09</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.95</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.73%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><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>3</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.17%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.21%</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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.40%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><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>3</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.64%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.73%</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" 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" 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>4</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.26%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and before fees</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>paid indirectly</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.73%</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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.71%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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>4</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.26%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.73%</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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.71%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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>4</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.25%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly and</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.70%</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" 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" 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>4</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.90%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.61%</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" 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" 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>4</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.34%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 604,372</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 551,505</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 739,225</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrowings outstanding, end of period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12,744</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 159,416</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average borrowings outstanding, during the period (000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,871</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11,705</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 195,845</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>156%</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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>287%</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" 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>7</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>215%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 48,423</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,637</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>Based on average shares outstanding.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
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     <TD colSpan=7 align=left>&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>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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>Aggregate total investment return.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
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     <TD align=left>&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>Annualized.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=left>&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>Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 12%.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=left>&nbsp; &nbsp;<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>Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 79%.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 align=left>&nbsp; &nbsp;<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>Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 24%.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><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=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 49</FONT></P>
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     <TD 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=3 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 align=left>&nbsp;</TD>
     <TD 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 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
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     <TD 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 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 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" align=left>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><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" 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" align=center><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" align=center><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 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
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     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.60</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.91</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.18</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.39</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.51</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.52</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.37</FONT>&nbsp;</TD></TR>
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     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.39</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.10</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.57</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.47</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.19)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.38)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.51)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.37)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.54</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.98</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.01</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.97%</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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.69)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.38%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.53%</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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.53%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.41%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.93%</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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.97%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.16%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.11%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 305,141</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 311,662</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 676,703</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>Based on average shares outstanding.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left>&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>Where applicable, total investment returns exclude the early withdrawal charge, but do include the reinvestment of dividends and distributions. The Fund is a continuously offered</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closed-end fund, the shares of which are offered at net asset value. No secondary market for the Fund&#146;s shares exists.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &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>Aggregate total investment return.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left>&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>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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 align=left>&nbsp; &nbsp; &nbsp; &nbsp;<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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 align=left>&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>Includes the Fund&#146;s share of the Master LLC&#146;s allocated expenses and/or net investment income.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
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     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
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     <TD align=left>&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>50 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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     <TD 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=4 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 align=left>&nbsp;</TD>
     <TD 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 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp; </TD>
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     <TD 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 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 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" align=left>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><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" 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" align=center><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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2005</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.76</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.67</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.19</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.41</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.54</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.63</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.56</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.39</FONT>&nbsp;</TD></TR>
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     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.42</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.89)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.11</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.61</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.48)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.50</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.20)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.43)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.38)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.17</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.76</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.79</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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>3</FONT></SUP>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.70)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.26%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.68%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.54%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.79%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.03%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 155,564</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 150,347</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 355,108</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>Based on average shares outstanding.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left>&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>Where applicable, total investment returns exclude the early withdrawal charge, but do include the reinvestment of dividends and distributions. The Fund is a continuously offered</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 align=left>&nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closed-end fund, the shares of which are offered at net asset value. No secondary market for the Fund&#146;s shares exists.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &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>Aggregate total investment return.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=left>&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>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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 align=left>&nbsp; &nbsp; &nbsp; &nbsp;<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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 align=left>&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>Includes the Fund&#146;s share of the Master LLC&#146;s allocated expenses and/or net investment income.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><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=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 51</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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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 </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;BHL&#148;), BlackRock Diversified</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income Strategies Fund, Inc. (&#147;DVF&#148;), BlackRock Floating Rate Income</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Strategies Fund, Inc. (&#147;FRA&#148;), BlackRock Limited Duration Income Trust</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(&#147;BLW&#148;), BlackRock Senior Floating Rate Fund, Inc. (&#147;Senior Floating Rate&#148;)</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and 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>(collectively, referred to as the &#147;Funds&#148; or individually as the &#147;Fund&#148;) are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>registered under the Investment Company Act of 1940, as amended (the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#147;1940 Act&#148;). BHL and BLW are organized as Delaware Statutory trusts. DVF,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA, Senior Floating Rate and Senior Floating Rate II are organized as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Maryland corporations. BHL, DVF, FRA and BLW are registered as diversi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fied, closed-end management investment companies. Senior Floating Rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Senior Floating Rate II are registered as continuously offered, nondiver-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sified, closed-end management investment companies. The Funds&#146; financial</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>statements are prepared in conformity with accounting principles generally</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accepted in the United States of America, which may require the use of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>management accruals and estimates. Actual results may differ from these</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>estimates. The Boards of Directors and the Boards of Trustees of the Funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are referred to throughout this report as the &#147;Board of Directors&#148; or the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#147;Board.&#148; The Funds determine and make available for publication the net</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>asset value of their shares on a daily basis.</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 as these 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 of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC, including the Schedule of Investments, are included else-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>where in this report and should be read in conjunction with Senior Floating</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rate and Senior Floating Rate II&#146;s financial statements. The percentage of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC owned by Senior Floating Rate and Senior Floating Rate II</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>at February 28, 2010 was 66% and 34%, 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 by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Funds:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Valuation: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds&#146; policy is to fair value their financial instruments at</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market value. The Funds value their bond investments on the basis of last</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>available bid prices or current market quotations provided by dealers or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pricing services selected under the supervision of each Fund&#146;s Board.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating rate loan interests are valued at the mean between the last avail-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>able bid prices from one or more brokers or dealers as obtained from a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pricing service. In determining the value of a particular investment, pricing</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>services may use certain information with respect to transactions in such</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments, quotations from dealers, pricing matrixes, market transactions</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in comparable investments, various relationships observed in the market</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between investments and calculated yield measures based on valuation</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>technology commonly employed in the market for such investments. Asset-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>backed and mortgage-backed securities are valued by independent pricing</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>services using models that consider estimated cash flows of each tranche</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the security, establishes a benchmark yield and develops an estimated</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tranche specific spread to the benchmark yield based on the unique</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>attributes of the tranche. Financial futures contracts traded on exchanges</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are valued at their last sale price. To be announced (&#147;TBA&#148;) commitments</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are valued at the current market value of the underlying securities. Swap</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreements are valued utilizing quotes received daily by the Funds&#146; pricing</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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. Investments in open-end investment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>companies are valued at net asset value each business day. Short-term</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities with remaining maturities of 60 days or less may be valued at</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amortized cost, which approximates fair value.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds value their investment in BlackRock Liquidity Series, LLC</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Money Market Series (the "Money Market Series") at fair value, which is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ordinarily based upon their pro rata ownership in the net assets of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underlying fund. The Money Market Series seeks current income consistent</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with maintaining liquidity and preserving capital. Although the Money</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Series is not registered under the 1940 Act, its investments will</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>follow the parameters of investments by a money market fund that is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>subject to Rule 2a-7 promulgated by the Securities and Exchange</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commission (&#147;SEC&#148;) under the 1940 Act. The Funds may withdraw up to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25% of their investment daily, although the manager of the Money Market</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series, in its sole discretion, may permit an investor to withdraw more than</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25% on any one day.</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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and ask prices at the close of the options market in which the options</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>trade. An exchange-traded option for which there is no mean price is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>valued at the last bid price. If no bid price is available, the prior day&#146;s price</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>will be used, unless it is determined that such day&#146;s price no longer reflects</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the fair value of the option. Over-the-counter (&#147;OTC&#148;) options and swap-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions are valued by an independent pricing service using a mathematical</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>model which incorporates a number of market data factors, such as the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>trades and prices of the underlying instruments.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities and other assets and liabilities denominated in foreign curren-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cies are translated into US dollars using exchange rates determined as of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the close of business on the New York Stock Exchange (&#147;NYSE&#148;). Foreign</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts are valued at the mid between the bid and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ask prices and are determined as of the close of business on the NYSE.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interpolated values are derived when the settlement date of the contract</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is an interim date for which quotations are not available.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In the event that application of these methods of valuation results in a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>price for an investment which is deemed not to be representative of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market value of such investment or is not available, the investment will be</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>valued by a method approved by each Fund&#146;s Board as reflecting fair value</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(&#147;Fair Value Assets&#148;). When determining the price for Fair Value Assets, the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment advisor and/or the sub-advisor seeks to determine the price</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>52 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_54"></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>that each Fund might reasonably expect to receive from the current sale</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of that asset in an arm&#146;s-length transaction. Fair value determinations shall</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be based upon all available factors that the investment advisor and/or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sub-advisor deems relevant. The pricing of all Fair Value Assets is subse-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quently reported to the Board or a committee thereof.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Generally, trading in foreign instruments is substantially completed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each day at various times prior to the close of business on the NYSE.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Occasionally, events affecting the values of such instruments may occur</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between the foreign market close and the close of business on the NYSE</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that may not be reflected in the computation of a Fund&#146;s net assets. If</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>events (for example, a company announcement, market volatility or a natu-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ral disaster) occur during such periods that are expected to materially</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>affect the value of such instruments, those instruments may be Fair Value</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets and be valued at their fair value, as determined in good faith by the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Board or by the investment advisor using a pricing service and/or proce-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>dures approved by the Board.</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>Fair Value Measurements: Various inputs are used in determining the fair</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value of investments, which are as follows:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=Frutiger-Roman,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>assets and liabilities.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=Frutiger-Roman,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 active, quoted</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prices for identical or similar assets or liabilities in markets that are not</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>active, inputs other than quoted prices that are observable for the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets or liabilities (such as interest rates, yield curves, volatilities, pre-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>payment speeds, loss severities, credit risks and default rates) or other</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market-corroborated inputs)</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=Frutiger-Roman,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 circumstances, to the extent observable inputs are not available</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(including the Fund&#146;s 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 methodologies used for valuing securities are not necessarily</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>an indication of the risk associated with investing in those securities.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>As of February 28, 2010, Senior Floating Rate and Senior Floating rate II&#146;s</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment in the Master LLC was classified as level 2. More relevant dis-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closure regarding fair value measurements relates to the Master LLC, which</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is disclosed in the Master LLC&#146;s Schedule of Investments included else-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>where in this report.</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 in-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>vestment 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 ex-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>penses at the rates of exchange prevailing on the respective dates of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>such transactions.</FONT></P>
<P align=left><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 Mortgaged-Backed Securities: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds may</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>invest in asset-backed securities. Asset-backed securities are generally</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>issued as pass-through certificates, which represent undivided fractional</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ownership interests in an underlying pool of assets, or as debt instruments,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which are also known as collateralized obligations, and are generally issued</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as the debt of a special purpose entity organized solely for the purpose of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>owning such assets and issuing such debt. Asset-backed securities are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>often backed by a pool of assets representing the obligations of a number</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of different parties. The yield characteristics of certain asset-backed securi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ties may differ from traditional debt securities. One such major difference</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is 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>Certain Funds may purchase certain mortgage pass-through securities.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>There are a number of important differences among the agencies and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instrumentalities of the US Government that issue mortgage-related sec-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>urities and among the securities that they issue. For example, mortgage-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>related securities guaranteed by the Government National Mortgage</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Association (&#147;GNMA&#148;) are guaranteed as to the timely payment of principal</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and interest by GNMA and such guarantee is backed by the full faith and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit of the United States. However, mortgage-related securities issued</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the Federal Home Loan Mortgage Corporation (&#147;FHLMC&#148;) and Federal</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>National Mortgage Association (&#147;FNMA&#148;), including FNMA guaranteed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mortgage Pass-Through Certificates which are solely the obligations of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the FNMA, are not backed by or entitled to the full faith and credit of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>United States and are supported by the right of the issuer to borrow from</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Treasury.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds invest a significant portion of their assets in securities</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>backed by commercial or residential mortgage loans or in issuers that hold</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mortgage and other asset-backed securities. Please see the Schedules of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments for these securities. Changes in economic conditions, including</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>delinquencies and/or defaults on assets underlying these securities, can</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>affect the value, income and/or liquidity of such positions.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Forward Commitments and When-Issued Delayed Delivery Securities:</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds may purchase securities on a when-issued basis and may</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>purchase or sell securities on a forward commitment basis. Settlement of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>such transactions normally occurs within a month or more after the pur-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>chase or sale commitment is made. The Funds may purchase securities</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>under such conditions with the intention of actually acquiring them, but</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may enter into a separate agreement to sell the securities before the settle-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment date. Since the value of securities purchased may fluctuate prior</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to settlement, the Funds may be required to pay more at settlement than</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 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>the security is worth. In addition, the purchaser is not entitled to any of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the interest earned prior to settlement. When purchasing a security on a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>delayed delivery basis, the Funds assume the rights and risks of ownership</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the security, including the risk of price and yield fluctuations. In the event</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of default by the counterparty, the Funds&#146; maximum amount of loss is the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unrealized gain of the commitment, which is shown on the Schedules of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments, if any.</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>Floating Rate Loans: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds may invest 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>are senior in the debt structure of a corporation. Floating rate loans gener-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ally pay interest at rates that are periodically determined by reference to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a 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 Inter Bank Offered Rate), (ii) the prime rate offered by one or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>more US banks or (iii) the certificate of deposit rate. The Funds consider</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>these investments to be investments in debt securities for purposes of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>their investment policies.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds earn and/or pay 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 and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prepayment penalty fees. Facility, commitment and amendment fees are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>typically amortized over the term of the loan. Consent fees and various</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other fees are recorded as income. Prepayment penalty fees are recorded</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as realized gains. When a Fund buys a floating rate loan it may receive a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>facility fee and when it sells a floating rate loan it may pay a facility fee.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>On an ongoing basis, the Funds may receive a commitment fee based on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the undrawn portion of the underlying line of credit portion of a floating</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate loan. In certain circumstances, the Funds may receive a prepayment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>penalty fee upon the prepayment of a floating rate loan by a borrower.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other fees received by the Funds may include covenant waiver fees and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>covenant modification fees.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds 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>Funds 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></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>parties. Participations typically will result in the Funds 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 Funds 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 Funds 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 Funds may not benefit directly from any collateral sup-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>porting 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 Funds 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 Funds&#146; 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 Funds 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>Mortgage Dollar Roll Transactions: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds may sell mortgage-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>backed securities and simultaneously contract to repurchase substantially</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar (same type, coupon and maturity) securities on a specific future</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>date at an agreed-upon price. During the period between the sale and</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. The Funds account for dollar roll transac-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions as purchases and sales and realize gains and losses on these trans-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>actions. Mortgage dollar rolls 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 Funds are required to purchase may decline below the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreed upon repurchase price of those securities.</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>Certain Funds may enter into reverse</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>repurchase agreements with qualified third party broker-dealers. In a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reverse repurchase agreement, the Funds sell securities to a bank or bro-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ker-dealer and agree to repurchase the securities at a mutually agreed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>upon date and price. Certain agreements have no stated maturity and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>can be terminated by either party at any time. Interest on the value of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reverse repurchase agreements issued and outstanding is based upon</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>competitive market rates determined at the time of issuance. The Funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may utilize reverse repurchase agreements when it is anticipated that the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest income to be earned from the investment of the proceeds of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transaction is greater than the interest expense of the transaction. Reverse</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>repurchase agreements involve leverage risk and also the risk that the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market value of the securities that the Funds are obligated to repurchase</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>under the agreement may decline below the repurchase price. In the event</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the buyer of securities under a reverse repurchase agreement files for</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>bankruptcy or becomes insolvent, the Funds&#146; use of the proceeds of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreement may be restricted while the other party, or its trustee or receiver,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>determines whether or not to enforce the Funds&#146; obligation to repurchase</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>Certain Funds may enter into TBA commitments to pur-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>chase or sell securities for a fixed price at a future date. TBA commitments</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></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>54 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</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-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 SEC require that the Funds either deliver</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>collateral or segregate assets in connection with certain investments</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e.g., dollar rolls, TBAs beyond normal settlement, financial futures con-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tracts, foreign currency exchange contracts and swaps), or certain borrow-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ings (e.g., reverse repurchase agreements and loan payable) each Fund</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>will, consistent with SEC rules and/or certain interpretive letters issued by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the SEC, segregate collateral or designate on its books and records cash or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other liquid securities having a market value at least equal to the amount</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that would otherwise be required to be physically segregated. Furthermore,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on requirements and agreements with certain exchanges and third</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>party broker-dealers, each party has requirements to deliver/deposit secu-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rities as collateral for certain investments.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Investment Transactions and Investment Income: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For financial reporting</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>purposes, investment transactions are recorded on the dates the trans-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>actions are entered into (the trade dates). Realized gains and losses</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on investment transactions are determined on the identified cost basis.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividend income is recorded on the ex-dividend dates. Dividends from</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>foreign securities where the ex-dividend date may have passed are sub-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sequently recorded when the Funds have 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 Funds amortize</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>all premiums and discounts on debt securities. Consent fees are compen-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sation for agreeing to changes in the terms of debt instruments and are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>included in interest income in the Statements of Operations.</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 on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the ex-dividend dates. If the total dividends and distributions made in any</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tax year exceed net investment income and accumulated realized capital</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>gains, a portion of the total distribution may be treated as a tax return</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of capital.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Income Taxes: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>It is each Fund&#146;s policy to comply with the requirements of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Internal Revenue Code applicable to regulated investment companies</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and to distribute substantially all of its taxable income to its 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 two periods</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ended August 31, 2009 for BHL, the four years ended August 31, 2009</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for DVF, FRA, Senior Floating Rate and Senior Floating Rate II, and the two</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>years ended October 31, 2007 and the two periods ended August 31,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2009 for BLW. The statutes of limitations on the Funds&#146; state and local</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tax returns may remain open for an additional year depending upon</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the jurisdiction.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Recent Accounting Standards: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In June 2009, amended guidance was</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>issued by the Financial Accounting Standards Board (&#147;FASB&#148;) for transfers</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of financial assets. This guidance is intended to improve the relevance,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>representational faithfulness and comparability of the information that</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a reporting entity provides in its financial statements about a transfer of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial assets; the effects of a transfer on its financial position, financial</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>performance, and cash flows; and a transferor&#146;s continuing involvement, if</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>any, in transferred financial assets. The amended guidance is effective for</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial statements for fiscal years and interim periods beginning after</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>November 15, 2009. Earlier application is prohibited. The recognition and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>measurement provisions of this guidance must be applied to transfers</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>occurring on or after the effective date. Additionally, the enhanced disclo-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sure provisions of the amended guidance should be applied to transfers</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that occurred both before and after the effective date of this guidance.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The impact of this guidance on the Funds&#146; financial statements and dis-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closures, if any, is currently being assessed.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In January 2010, the FASB issued amended guidance to improve dis-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closure about fair value measurements which will require additional dis-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closures about transfers into and out of Levels 1 and 2 and separate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>disclosures about purchases, sales, issuances and settlements in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reconciliation for fair value measurements using significant unobservable</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>inputs (Level 3). It also clarifies existing disclosure requirements relating</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the levels of disaggregation for fair value measurement and inputs and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>valuation techniques used to measure fair value. The amended guidance</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is effective for financial statements for fiscal years and interim periods</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>beginning after December 15, 2009 except for disclosures about pur-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>chases, sales, issuances and settlements in the rollforward of activity</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in Level 3 fair value measurements, which are effective for fiscal years</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>beginning after December 15, 2010 and for interim periods within</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>those fiscal years. The impact of this guidance on the Funds&#146; financial</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>statements and disclosures is currently being assessed.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Deferred Compensation and BlackRock Closed-End Share Equivalent</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Investment Plan: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Under the deferred compensation plan approved by each</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s Board, 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 had been</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>invested in common shares of other certain BlackRock Closed-End Funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>selected by the Independent Directors. This has approximately the same</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>economic effect for the Independent Directors as if the Independent</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Directors had invested the deferred amounts directly in 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 there under</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>represent general unsecured claims against the general assets of each</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund. Each Fund may, however, elect to invest in common shares of 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 each Fund&#146;s deferred compensation liability, if any, are included in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other assets in the Statements of Assets and Liabilities. Dividends and dis-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tributions from the BlackRock Closed-End Funds investments under the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>plan are included in income &#151; affiliated in the Statements of Operations.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Other: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expenses directly related to a Fund are charged to that Fund. Other</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>operating expenses shared by several funds are pro rated among those</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>funds on the basis of relative net assets or other appropriate methods.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds have an arrangement with the custodians whereby fees may be</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 55</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>reduced by credits earned on uninvested cash balances, which if applica-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ble are shown as fees paid indirectly in the Statements of Operations. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>custodians impose fees on overdrawn cash balances, which can be offset</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by accumulated credits earned or may result in additional custody charges.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>2. Derivative Financial Instruments:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may engage in various portfolio investment strategies both to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>increase the returns of the Funds and to economically hedge, or protect,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>their exposure to certain risks such as credit risk, equity risk, interest rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risk and foreign currency exchange rate risk. Losses may arise if the value</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the contract decreases due to an unfavorable change in the price of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underlying instrument or if the counterparty does not perform under the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contract. The Funds may mitigate counterparty risk through master netting</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreements included within an International Swap and Derivatives Asso-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ciation, Inc. (&#147;ISDA&#148;) Master Agreement between a Fund and each of its</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparties. The ISDA Master Agreement allows each Fund to offset with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>its counterparty certain derivative financial instrument&#146;s payables and/or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>receivables with collateral held with each counterparty. The amount of col-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lateral moved to/from applicable counterparties is based upon minimum</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transfer amounts of up to $500,000. To the extent amounts due to the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds from their counterparties are not fully collateralized contractually or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>otherwise, the Funds bear the risk of loss from counterparty non-perform-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ance. See Note 1 &#147;Segregation and Collateralization&#148; for information with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respect to collateral practices.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund&#146;s maximum risk of loss from counterparty credit risk on OTC</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>derivatives is generally the aggregate unrealized gain in excess of any</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>collateral pledged by the counterparty to the Funds. For OTC options pur-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>chased, the Funds bear the risk of loss in the amount of the premiums</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>paid and change in market value of the options should the counterparty</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>not perform under the contracts. Options written by the Funds do not give</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rise to counterparty credit risk, as options written obligate the Funds to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>perform and not the counterparty. Certain ISDA Master Agreements allow</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparties to OTC derivatives to terminate derivative contracts prior to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>maturity in the event a Fund&#146;s net assets decline by a stated percentage or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a Fund fails to meet the terms of its ISDA Master Agreements, which would</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cause a Fund to accelerate payment of any net liability owed to the coun-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>terparty. Counterparty risk related to exchange-traded financial futures con-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tracts and options is minimal because of the protection against defaults</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>provided by the exchange on which they trade.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Financial Futures Contracts: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 to gain</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exposure to, or economically hedge against, changes in interest rates</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(interest rate risk) or foreign currencies (foreign currency exchange rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risk). Financial futures contracts are contracts for delayed delivery of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities or currencies at a specific future date and at a specific price or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>yield. Pursuant to the contract, the Funds agree to receive from or pay to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the broker an amount of cash equal to the daily fluctuation in value of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contract. Such receipts or payments are known as margin variation and are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recognized by the Funds as unrealized gains or losses. When the contract</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is closed, the Funds record a realized gain or loss equal to the difference</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between the value of the contract at the time it was opened and the value</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>at the time it was closed. The use of financial futures transactions involves</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the risk of an imperfect correlation in the movements in the price of finan-</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cial futures contracts, interest or foreign currency exchange rates and the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underlying assets.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Foreign Currency Exchange Contracts: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may enter into foreign</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts as an economic hedge against either specific</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transactions or portfolio positions (foreign currency exchange rate risk). A</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>foreign currency exchange contract is an agreement between two parties</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to buy and sell a currency at a set exchange rate on a future date. Foreign</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts, when used by the Funds, help to manage the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>overall exposure to the currency backing some of the investments held by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Funds. The contract is marked-to-market daily and the change in mar-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ket value is recorded by the Funds as an unrealized gain or loss. When the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contract is closed, the Funds record a realized gain or loss equal to the dif-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ference between the value at the time it was opened and the value at the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>time it was closed. The use of foreign currency exchange contracts involves</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the risk that counterparties may not meet the terms of the agreement or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unfavorable movements in the value of a foreign currency relative to the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US dollar.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Options: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may purchase and write call and put options to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>increase or decrease their exposure to underlying instruments (equity risk)</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and/or, in the case of options written, to generate gains from options pre-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>miums. A call option gives the purchaser of the option the right (but not</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the 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 instrument at the exercise price at any time or at</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a specified time during the option period. A put option gives the holder the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>right to sell and obligates the writer to buy the underlying instrument at the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exercise price at any time or at a specified time during the option period.</FONT><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 pre-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mium paid (received) by a Fund is reflected as an asset (liability). The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amount of the asset (liability) is subsequently marked-to-market to reflect</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the current market value of the option purchased (written).When an instru-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment is purchased or sold through an exercise of an option, the related</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>premium paid (or received) is added to (or deducted from) the basis of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instrument acquired or deducted from (or added to) the proceeds of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instrument sold. When an option expires (or a Fund enters into a closing</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transaction), a Fund realizes a gain or loss on the option to the extent of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the premiums received or paid (or gain or loss to the extent the cost of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closing transaction exceeds the premium received or paid). When a Fund</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>writes a call option, such option is &#147;covered,&#148; meaning that a Fund holds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the underlying instrument subject to being called by the option counter-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>party, or cash in an amount sufficient to cover the obligation. When a Fund</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>writes a put option, such option is covered by cash in an amount sufficient</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to cover the obligation.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options on swaps (swaptions) are similar to options on securities except</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that instead of selling or purchasing the right to buy or sell a security, the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>writer or purchaser of the swap option is granting or buying the right to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>enter into a previously agreed upon interest rate 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-BookCnd,Arial,Helvetica,sans-serif>In purchasing and writing options, a Fund bears the risk of an unfavorable</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>change in the value of the underlying instrument or the risk that a Fund</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may not be able to enter into a closing transaction due to an illiquid mar-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ket. Exercise of an option written could result in a Fund purchasing or</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>56 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</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>selling a security at a price different from the current market value. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds may execute transactions in both listed and OTC options.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Swaps: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each Fund may enter into swap agreements, in which a 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 Funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are recorded in the Statements of Operations as realized gains or losses,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respectively. Any upfront fees paid are recorded as assets and any upfront</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fees received are recorded as liabilities and amortized over the term of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the swap. Swaps are marked-to-market daily and changes in value are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recorded as unrealized appreciation (depreciation). When the swap is ter-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>minated, the Fund will record a realized gain or loss equal to the difference</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between the proceeds from (or cost of) the closing transaction and the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s basis in the contract, if any. Swap transactions involve, to varying</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>degrees, elements of interest rate, credit and market risk in excess of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amounts recognized in the Statements of Assets and Liabilities. Such risks</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>involve the possibility that there will be no liquid market for these agree-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments, that the counterparty to the agreements may default on its obliga-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion to perform or disagree as to the meaning of the contractual terms in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the agreements, and that there may be unfavorable changes in interest</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates and/or market values associated with these transactions.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps &#151; Each Fund may enter into credit default swaps</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to manage its exposure to the market or certain sectors of the market,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to reduce its risk exposure to defaults of corporate and/or sovereign</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>issuers or to create exposure to corporate and/or sovereign issuers to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which it is not otherwise exposed (credit risk). The Funds enter into</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit default agreements to provide a measure of protection against</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the default of an issuer (as buyer protection) and/or gain credit expo-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sure to an issuer to which it is not otherwise exposed (as seller of pro-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tection). The Fund may either buy or sell (write) credit default swaps on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>single-name issuers (corporate or sovereign) or traded indexes. Credit</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default swaps on single-name issuers are agreements in which the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>buyer pays fixed periodic payments to the seller in consideration for a</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>guarantee from the seller to make a specific payment should a negative</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit event take place (e.g., bankruptcy, failure to pay, obligation accel-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>erators, repudiation, moratorium or restructuring). Credit default swaps</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on traded indexes are agreements in which the buyer pays fixed peri-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>odic payments to the seller in consideration for a guarantee from the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>seller to make a specific payment should a write-down, principal or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest shortfall or default of all or individual underlying securities</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>included in the index occurs. As a buyer, if an underlying credit event</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>occurs, a Fund will either receive from the seller an amount equal to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the notional amount of the swap and deliver the referenced security or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underlying securities comprising of an index or receive 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.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>As a seller (writer), if an underlying credit event occurs, a Fund will</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>either pay the buyer an amount equal to the notional amount of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>swap and take delivery of the referenced security or underlying securi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ties comprising of an index or pay a net settlement of cash equal to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the notional amount of the swap less the recovery value of the security</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or underlying securities comprising of an index.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate swaps &#151; Each Fund may enter into interest rate swaps to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>manage duration, the yield curve or interest rate risk by economically</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>hedging the value of the fixed rate bonds which may decrease when</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest rates rise (interest rate risk). Interest rate swaps are agreements</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in which one party pays a floating rate of interest on a notional princi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pal amount and receives a fixed rate of interest on the same notional</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>principal amount for a specified period of time. Interest rate floors,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which are a type of interest rate swap, are agreements in which one</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>party agrees to make payments to the other party to the extent that</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest rates fall below a specified rate or floor in return for a premium.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In more complex swaps, the notional principal amount may decline (or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amortize) over time.</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="2%"></TD>
     <TD width="30%"></TD>
     <TD width="27%"></TD>
     <TD width="3%"></TD>
     <TD width="6%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Derivative Instruments Categorized by Risk Exposure:</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=8 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Values of Derivative Instruments as of February 28, 2010</FONT></B></TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=8 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset Derivatives</FONT></B></TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Statements of Assets</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>and Liabilities Location</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BHL</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>DVF</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>FRA</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BLW</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate contracts</FONT>&nbsp;</TD>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation/depreciation*</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 28,377</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts</FONT>&nbsp;</TD>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on foreign</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 756,237</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 410,722</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 974,774</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,331,453</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit contracts</FONT>&nbsp;</TD>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on swaps</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,712</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,118</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Equity contracts</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value &#151; unaffiliated**</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,470</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,800</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,740</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 756,237</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 413,192</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 980,286</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,372,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=8 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liability Derivatives</FONT></B></TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=8 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Statements of Assets</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>and Liabilities Location</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BHL</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>DVF</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BLW</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate contracts</FONT>&nbsp;</TD>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation/depreciation*</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,842,608</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts</FONT>&nbsp;</TD>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on foreign</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 36,487</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 28,214</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit contracts</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on swaps</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>182,991</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,149</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 36,487</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,025,599</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 33,363</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>*</FONT>&nbsp;</TD>
     <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes cumulative unrealized appreciation/depreciation of financial futures contracts as reported in the Schedules of Investments. Only current day&#146;s margin variation is reported</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>within the Statements of Assets and Liabilities.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>**</FONT>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes options purchased at value as reported in the Schedules of Investments.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 57</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<TR>
     <TD width="34%"></TD>
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     <TD width="7%"></TD>
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     <TD width="9%"></TD>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 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; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>The Effect of Derivative Instruments on the Statements of Operations</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended February 28, 2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Realized Gain (Loss) from</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BHL</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>DVF</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>FRA</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BLW</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate contracts:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 146,933</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency transactions</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (369,932)</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (128,085)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (759,427)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(767,789)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit contracts:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(643,991)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,205,766)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(246,028)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (369,932)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (772,076)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(1,965,193)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (866,884)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Change in Unrealized Appreciation/Depreciation on</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BHL</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>DVF</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>FRA</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BLW</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate contracts:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,299</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (91,419)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency transactions</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 940,037</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503,439</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,354,167</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,808,305</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit contracts:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,208,826</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,110,590</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>82,828</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Equity contracts:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options***</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10,530)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16,200)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(37,260)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 940,037</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,610,316</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,448,557</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,860,172</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>*** Includes options purchased which are shown in the net change in unrealized appreciation/depreciation on investments.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=5 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2010, the average quarterly balance of outstanding derivative financial instruments was as follows:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>DVF</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>FRA</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BLW</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts purchased</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts sold</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value of contracts purchased</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 37,872</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value of contracts sold</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts&#151;US dollars purchased</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts&#151;US dollars sold</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average US dollar amounts purchased</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14,477,955</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9,113,336</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$19,496,844</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$40,158,206</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average US dollar amounts sold</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 635,924</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 135,242</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 576,646</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options purchased:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average premium</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12,711</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19,556</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 44,978</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts&#151;buy protection</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts&#151;sell protection</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value&#151;buy protection</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 787,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,425,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,250,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value&#151;sell protection</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,211,269</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,000,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate swaps:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts&#151;pays fixed rate</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts&#151;receives fixed rate</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value&#151;pays fixed rate</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$20,000,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value&#151;receives fixed rate</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>3. 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>The PNC Financial Services Group, Inc. ("PNC"), Bank of America</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporation ("BAC") and Barclays Bank PLC ("Barclays") are the largest</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>stockholders of BlackRock, Inc. ("BlackRock"). Due to the ownership</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>structure, PNC is an affiliate for 1940 Act purposes, but BAC and Barclays</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are not.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL, DVF, FRA and BLW have entered into an Investment Advisory</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Agreement with BlackRock Advisors, LLC (the &#147;Manager&#148;), the Funds&#146;</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment advisor, an indirect, wholly owned subsidiary of BlackRock, to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>provide investment advisory and administration services.</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Manager is responsible for the management of each Fund&#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 each Fund. For such services,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each Fund pays the Manager a monthly fee of each Fund&#146;s average daily</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value of its respective net assets plus the proceeds of any outstanding</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrowings at the following annual rates:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="48%"></TD>
     <TD width="51%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.75%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.75%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.55%</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Manager has voluntarily agreed to waive its advisory fees by the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amount of investment advisory fees each Fund pays to the Manager</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>58 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</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>indirectly through its investment in affiliated money market funds; however,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Manager does not waive its advisory fees by the amount of investment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>advisory fees through its investment in other affiliated investment comp-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>anies. These amounts are included in fees waived by advisor in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Statements of Operations. For the six months ended February 28, 2010,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the amounts waived were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="45%"></TD>
     <TD width="54%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fees Waived</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>by Manager</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,051</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 976</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,347</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$18,003</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Manager, on behalf of BHL, DVF, FRA and BLW has entered into a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>separate sub-advisory agreement with BlackRock Financial Management,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inc. (&#147;BFM&#148;), an affiliate of the Manager, under which the Manager pays</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BFM for services it provides, a monthly fee that is a percentage of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment advisory fee paid by each Fund to the Manager.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2010, certain Funds reimbursed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Manager 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 Statements of Operations.</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="45%"></TD>
     <TD width="54%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Accounting</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Services</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,453</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,289</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,415</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$5,260</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><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 Manager. The administration fee paid</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the Manager 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 these</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 these 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;BRIL&#148;), which is an affiliate of BlackRock.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2010, BRIL received early with-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>drawal charges for Senior Floating Rate and Senior Floating Rate II in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amount of $154,083 and $22,869, respectively, relating to the tender of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 Manager, is the transfer agent and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>dividend disbursing agent for Senior Floating Rate and Senior Floating Rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>II. Transfer agency fees borne by the Funds are comprised of those fees</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>charged for all shareholder communications including mailing of share-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>holder reports, dividend and distribution notices, and proxy materials for</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shareholder meetings, as well as per account and per transaction fees</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>related to servicing and maintenance of shareholder accounts, including</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the issuing, redeeming and transferring of shares, check writing, anti-money</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>laundering services, and customer identification services.</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate and Senior Floating Rate II may earn income on posi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tive cash balances in demand deposit accounts that are maintained by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the transfer agent on behalf of the Funds. These amounts are included in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income &#151; affiliated in the Statements of Operations.</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 or its affiliates. The Funds reimburse the Manager for com-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pensation paid to the Funds&#146; Chief Compliance Officer.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>4. Investments:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases and sales of investments (including paydowns and mortgage</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>dollar roll transactions and excluding short-term securities and US</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>government securities) for the six months ended February 28, 2010, 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="29%"></TD>
     <TD width="47%"></TD>
     <TD width="22%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><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" 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 79,601,150</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 80,273,519</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 100,130,378</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 86,983,707</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 167,412,050</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 155,107,562</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,149,665,741</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,049,052,368</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, 2010, sales of US government</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities for BLW were $3,482,797.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2010, purchases and sales</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for BLW attributable to mortgage dollar rolls were $966,354,141 and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$968,993,352, respectively.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>5. 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.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In 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>2010, the Funds had the following unfunded loan commitments:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="37%"></TD>
     <TD width="43%"></TD>
     <TD width="19%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=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 align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded</FONT></B>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitment</FONT></B>&nbsp;</TD>
     <TD align=right>&nbsp; &nbsp;<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" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BHL</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right>&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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CloverHill</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 232</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 236</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 123</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 107</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Vision</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 99</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 102</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>DVF</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CII Investment</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 196</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 179</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 123</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 127</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>FRA</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CloverHill</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 411</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 419</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi A-1</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi A-2</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi B-1</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 84</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 72</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi B-2</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 196</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 169</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vought Aircraft</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,148</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,094</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BLW</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 614</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 532</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Vision</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 52</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 59</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=-->
<A name="page_61"></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-Demi,Arial,Helvetica,sans-serif>6. Capital Loss Carryforwards:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>As of August 31, 2009, the Funds had capital carry loss carryforwards</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>available to offset future realized capital gains through the indicated</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expiration dates:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="24%"></TD>
     <TD width="20%"></TD>
     <TD width="18%"></TD>
     <TD width="19%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expires August 31,</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>DVF</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>FRA</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BLW</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2013</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 691,829</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2014</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,755,694</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2015</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,237,399</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2016</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,444,704</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475,453</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 21,933,927</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2017</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,063,204</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,249,830</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,954,032</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,996,868</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,063,204</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 25,687,627</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 22,121,314</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 31,930,795</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Senior</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>
     <TD 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 style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expires August 31,</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund II</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2010</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 87,904,309</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 864,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,409,203</FONT>&nbsp;</TD>
     <TD 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2012</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,221,818</FONT>&nbsp;</TD>
     <TD 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2013</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56,166,095</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2014</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>945,546</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2015</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,561,691</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2016</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,419,599</FONT>&nbsp;</TD>
     <TD 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2017</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,221,457</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,728,284</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$282,849,718</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 37,618,235</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>7. 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></P>
<P align=left><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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cash due from counterparties. The extent of the Funds&#146; exposure to credit</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and counterparty risks with respect to these financial assets is generally</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>approximated by their value recorded in the Funds&#146; Statements of Assets</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Liabilities, less any collateral held by the Funds.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>8. Capital Share Transactions:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL and BLW are authorized to issue an unlimited number of shares, par</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value $0.001, all of which were initially classified as Common Shares. DVF</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and FRA are authorized to issue 200 million shares, par value $0.10, all of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which were initially classified as Common Shares. The Board is authorized,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>however, 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>During the six months ended February 28, 2010 and the year ended</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>August 31, 2009, the shares issued and outstanding increased by the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>following amounts as a result of dividend reinvestments:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="28%"></TD>
     <TD width="48%"></TD>
     <TD width="22%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>
     <TD 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 style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31, 2009</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>84,923</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,929</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>129,277</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,797</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,791</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares issued and outstanding remained constant during the six months</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ended February 28, 2010 and the year ended August 31, 2009 for BLW.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>At February 28, 2010, the shares owned by affiliates of the Manager of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="48%"></TD>
     <TD width="51%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,517</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,726</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,021</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="37%"></TD>
     <TD width="14%"></TD>
     <TD width="23%"></TD>
     <TD width="13%"></TD>
     <TD width="3%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=center>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>
     <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=center>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31, 2009</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=right>&nbsp; &nbsp; &nbsp;<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" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares sold</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>975,726</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,282,805</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,495,709</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 22,066,554</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73,448</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>547,445</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>189,466</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,198,984</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total issued</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,049,174</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,830,250</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,685,175</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,265,538</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,116,162)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(30,480,799)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10,231,989)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(65,061,276)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,066,988)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (22,650,549)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,546,814)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (41,795,738)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares sold</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>940,702</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,602,535</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,475,221</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 23,697,009</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>52,402</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>422,993</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>83,856</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>580,777</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total issued</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>993,104</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,025,528</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,559,077</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,277,786</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,335,186)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10,726,654)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,697,156)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(39,247,148)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(342,082)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (2,701,126)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,138,079)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (14,969,362)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>60 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_62"></A>
<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-Demi,Arial,Helvetica,sans-serif>9. Borrowings</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>On December 22, 2009, BLW borrowed under the Term Asset-Backed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Loan Facility (&#147;TALF&#148;). The TALF program was launched by the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Department of Treasury and the Federal Reserve Board as a credit</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>facility designed to restore liquidity to the market for asset-backed securi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ties. The Federal Reserve Bank of New York (&#147;FRBNY&#148;) will provide up to $1</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>trillion in non-recourse loans to support the issuance of certain AAA-rated</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>asset-backed securities and commercial mortgage-backed securities</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(&#147;Eligible Securities&#148;). The Fund posted as collateral already-held Eligible</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities, which were all commercial mortgage-backed securities, in return</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for non-recourse, 5-year term loans (&#147;TALF loans&#148;) in an amount equal to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>approximately 85% of the value of such Eligible Securities. The TALF loans</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are shown as loan payable on the Statements of Assets and Liabilities. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>following is a summary of the outstanding TALF loans and related informa-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion as of February 28, 2010:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="14%"></TD>
     <TD width="21%"></TD>
     <TD width="18%"></TD>
     <TD width="15%"></TD>
     <TD width="12%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aggregate</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value of</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Number</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Maturity</FONT></B>&nbsp;</TD>
     <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Eligible</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>of Loans</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>of Loans</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date(s)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rates</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12,744,165</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/22/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.62%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$15,576,712</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The non-recourse provision of the TALF loans allows the Fund to satisfy loan</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>obligations with Eligible Securities, subject to certain conditions, even if the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value of the Eligible Securities falls below the outstanding amount of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan. The Fund can repay TALF loans prior to the maturity dates with no</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>penalty. Principal and interest due on the loans will typically be paid with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>principal paydowns and interest received from the Eligible Securities. Credit</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreements underlying each loan contain provisions to address instances</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in which interest payments on Eligible Securities fall short of amounts due</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the FRBNY. The Fund paid to the FRBNY a one time administration fee</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of 0.20% of the amount borrowed, which was expensed as incurred in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the current period by the Fund and is included in borrowing costs in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Statements of Operations. The Fund also pays a financing fee equal to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the 5-year LIBOR swap rate plus 1.00% on the outstanding loan amount</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>payable monthly, which is included in interest expense in the Statements</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Operations.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since the Fund has the ability to potentially satisfy TALF loan obligations</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by surrendering Eligible Securities, potential losses by the Fund associated</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with the TALF loans are limited to the difference between the amount of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Eligible Securities posted at the time of loan initiation and the loan pro-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ceeds received by the Fund.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund has elected to account for the outstanding TALF loans at fair</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value. The Fund elected to fair value its TALF loans to more closely align</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>changes in the value of the TALF loans with changes in the value of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Eligible Securities and to reduce the potential volatility in the Statements</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Operations which could result if only the Eligible Securities were fair val-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ued. In fair valuing TALF loans, the Fund considers various factors such as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>observable market transactions, if available, changes in the value of Eligible</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities, interest rate movements, and the potential likelihood and timing</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of loan repayments. Any change in unrealized gain or loss associated with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fair valuing TALF loans will be reflected in the Statements of Operations. As</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of February 28, 2010, the fair value of the Fund&#146;s TALF loan obligation was</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>determined to be equal to its face value and as a result there were no</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unrealized gains or losses recorded by the Fund.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>On March 5, 2009, BHL, DVF, and FRA entered into a senior committed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>secured, 364-day revolving line of credit and a separate security agreement</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(the &#147;SSB Agreement&#148;) with State Street Bank and Trust Company (&#147;SSB&#148;).</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds have granted a security interest in substantially all of their</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets to SSB. The agreement allowed for the following maximum</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commitment amounts:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="39%"></TD>
     <TD width="60%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitment Amount</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 55,000,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 50,000,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$103,000,000</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advances are made by SSB to the Funds, at the Funds option (a) the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>higher of (i) 1.0% above the Fed Effective Rate and (ii) 1.0% above the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Overnight LIBOR or (b) 1.0% above 7-day, 30-day, 60-day or 90-day LIBOR.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In addition, the Funds pay a facility fee and a commitment fee based upon</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SSB&#146;s total commitment to the Funds. The fees associated with each of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreements are included in the Statements of Operations as borrowing</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>costs. Advances to the Funds as of February 28, 2010 are shown in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Statements of Assets and Liabilities as loan payable. The SSB Agreement</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>was renewed for 364 days under substantially the same terms effective</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March 4, 2010. The SSB Agreement allows for the following maximum</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commitment amounts:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="39%"></TD>
     <TD width="60%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitment Amount</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 55,000,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 55,000,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$103,000,000</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may not declare dividends or make other distributions on shares</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or purchase any such shares if, at the time of the declaration, distribution</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or purchase, asset coverage with respect to the outstanding short&#151;term</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrowings is less than 300%.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2010, the daily weighted average</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest rates for funds with loans under the revolving credit agreements</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="43%"></TD>
     <TD width="56%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.20%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.20%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.20%</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, 2010, the daily weighted average</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest rates for funds with reverse repurchase agreements 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="43%"></TD>
     <TD width="56%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD 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 align=left>&nbsp;</TD>
     <TD 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.18%</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>Management&#146;s evaluation of the impact of all subsequent events on the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds&#146; financial statements was completed through the date the financial</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>statements were issued and the following items were noted:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each Fund paid a net investment income dividend on March 31, 2010 to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Shareholders of record on March 15, 2010 as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="47%"></TD>
     <TD width="52%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0540</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0685</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0815</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0750</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 61</FONT></P>
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<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, 2010 </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="53%"></TD>
     <TD width="32%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=left>&nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Long-Term Investments</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset Mix</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2/28/2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/09</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>82%</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>91%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=center>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>62 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
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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, 2010 (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="60%"></TD>
     <TD width="9%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common Stocks (a)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 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 bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GEO Specialty Chemicals, Inc. (b)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,151</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>335,138</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>703,911</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd. (b)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>789,964</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,493,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SIRVA</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,170</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Common Stocks &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,528,377</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Materials Corp. of America, 7.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/15/20 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,425</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,425,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 1.8%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GEO Specialty Chemicals, Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 3/31/15 (b)(c)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,555</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,660,565</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 3/31/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,515</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,634,464</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hexion Finance Escrow LLC, 8.88%, 2/01/18 (b)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,110</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,037,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nalco Co., 8.25%, 5/15/17 (b)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,015</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,083,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc. (c):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 1/29/19</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,322</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,161,342</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 1/29/19</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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" bgColor=#f1f1f2 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 style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,577,734</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clean Harbors, Inc., 7.63%, 8/15/16 (b)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,616,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Geo Group, Inc., 7.75%, 10/15/17 (b)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,050</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,063,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,679,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Communications Equipment &#151; 0.1%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brocade Communications Systems, Inc. (b):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.63%, 1/15/18</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>277,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 1/15/20</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>193,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>471,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inmarsat Finance Plc, 7.38%, 12/01/17 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,357,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Escrow LLC, 8.25%, 11/15/15 (b)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,695,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown Americas LLC, 7.63%, 5/15/17 (b)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,190</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,237,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Owens-Brockway Glass Container, Inc., 7.38%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/15/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,210</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,249,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,182,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FCE Bank Plc:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.88%, 2/15/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>153,624</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 1/16/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,754,575</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 1/15/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>266,885</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GMAC, Inc., 8.30%, 2/12/15 (b)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,100</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,118,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,293,459</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="65%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 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 bgColor=#f1f1f2 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 bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cincinnati Bell, Inc., 8.25%, 10/15/17</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PAETEC Holding Corp.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.88%, 6/30/17</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>373</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375,797</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.88%, 6/30/17 (b)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,015</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Communications International, Inc., 8.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/01/15 (b)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,242,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Corp., 8.38%, 5/01/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>990</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,084,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Windstream Corp., 7.88%, 11/01/17 (b)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,199,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,703,237</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expro Finance Luxembourg SCA, 8.50%, 12/15/16 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smithfield Foods, Inc., 10.00%, 7/15/14 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,390</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,587,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaVita, Inc., 6.63%, 3/15/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,660</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,664,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels Restaurants &amp; Leisure &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Icahn Enterprises LP (b):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 1/15/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,125</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,057,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 1/15/18</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,115,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MGM Mirage, 11.13%, 11/15/17 (b)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,030</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,112,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,284,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beazer Homes USA, Inc., 12.00%, 10/15/17 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,564,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Libbey Glass, Inc., 10.00%, 2/15/15 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>245</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>253,575</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SunGard Data Systems, Inc., 4.88%, 1/15/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,429</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,334,329</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Calpine Construction Finance Co. LP, 8.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/01/16 (b)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,770</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,817,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Holdings Corp., 10.00%, 1/15/20 (b)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,428,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc., 7.25%, 2/01/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,332,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,577,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 1.4%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clear Channel Worldwide Holdings, Inc., 9.25%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/17 (b)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,675</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,770,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Germany GmbH, 8.13%, 12/01/17 (b)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,750,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,520,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 2.1%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NewPage Corp.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 5/01/12 (e)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>650</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>344,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.38%, 12/31/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,450</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,069,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Holdings LLC, Series B, 4.00%, 8/01/14 (e)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,670</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,348,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,762,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Investment Trusts (REITs) &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Omega Healthcare Investors, Inc., 7.50%, 2/15/20 (b)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,111,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Levi Strauss &amp; Co., 8.63%, 4/01/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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" bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,736,928</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc., 7.75%, 5/15/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,250</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,319,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#151; 17.1%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>79,147,850</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="38%"></TD>
     <TD width="8%"></TD>
     <TD width="24%"></TD>
     <TD width="16%"></TD>
     <TD width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp; &nbsp; &nbsp;<B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Abbreviations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e7f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>To simplify the listings of portfolio holdings in the</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>CAD</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canadian Dollar</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>GBP</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pound Sterling</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Schedule of Investments, the names and descriptions of</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>EUR</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>USD</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Dollar</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>many of the securities have been abbreviated according</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the following list:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&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=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 63</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=-->
<A name="page_65"></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="18%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 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 bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Facility Deposit, 2.25%, 3/26/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 88,762</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.23% &#150; 2.25%, 3/26/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,985</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,460,696</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TASC, Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 5.50%, 12/18/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>853,542</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 5.75%, 12/18/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,650</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,661,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,064,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.08% &#150; 2.25%, 4/30/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,470</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,373,226</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group Holdings, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.73%, 10/17/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>851</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>825,852</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allison Transmission, Inc., Term Loan, 2.98% &#150; 3.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/07/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,315</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,783,011</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dana Holding Corp., Term Advance, 4.48% &#150; 6.50%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/30/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,869</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,820,440</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Exide Technologies, Term Loan, 3.91%, 5/15/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>704,293</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lear Corp., Loan (Closing Date Loan &amp; Delayed</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Draw Loan), 7.50%, 11/09/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,375</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,379,928</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,513,524</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Automobiles &#151; 0.9%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Co., Tranche B-1 Term Loan, 3.24% &#150; 3.26%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,538</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,198,048</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 2.5%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Materials Corp. of America:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Second Lien Term Loan, 6.00%, 9/15/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,460,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan Advance, 3.00%, 2/22/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,993</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,940,592</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goodman Global, Inc., Term Loan, 6.25%, 2/13/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,206</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,226,288</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 2.50%, 12/04/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>967</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>882,614</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 2.67%, 12/04/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>964</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,178,561</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,688,055</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Co., LLC, Term Loan, 5.25% &#150; 7.25%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>766</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486,623</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nuveen Investments, Inc., Term Loan, 3.25% &#150; 3.32%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/13/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,068</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,798,902</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,285,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 5.7%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ashland Inc., Term B Borrowing, 7.65%, 5/13/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,260</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,274,491</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acquisition Facility 1, 2.00% &#150; 2.14%, 1/20/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,864</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B2, 1.98% &#150; 2.00%, 1/20/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,831</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,780,234</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chemtura Corp. Debtor in Possession Return of Capital</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 6.00%, 1/26/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,800</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,812,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.25%, 5/31/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>731</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>582,258</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gentek Holding, LLC, Tranche B Term Loan, 7.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/29/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,306,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Huish Detergents, Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 4.51%, 10/26/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>709,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 2.01%, 4/26/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>618</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>593,461</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matrix Acquisition Corp. (fka MacDermid, Inc.),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C Term Loan, 2.63%, 12/15/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,045</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,159,294</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nalco Co., Term Loan, 6.50%, 5/13/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,607</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,632,123</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PQ Corp. (fka Niagara Acquisition, Inc.), Original</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 3.48% &#150; 3.50%, 7/30/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,942</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,522,290</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rockwood Specialties Group, Inc., Term Loan H, 6.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/15/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,681</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,688,764</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia Inc., Loan, 7.25%, 2/28/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,054</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,093,371</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tronox Worldwide LLC, Tranche B-1 Term Loan, 9.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/24/10</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,360,260</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,636,848</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="65%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 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 bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 2.9%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advanced Disposal Services, Inc., Term B Loan, 6.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/14/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,300,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alliance Laundry Systems LLC, Term Loan, 2.74%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/27/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>511</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>491,128</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ARAMARK Corp.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Facility, 2.11%, 1/26/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>136</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>129,598</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan, 2.13%, 1/26/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,066</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,970,629</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Casella Waste Systems, Inc, Term B Loan, 7.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/09/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,244</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,251,523</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>John Maneely Co., Term Loan, 3.50%, 12/09/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>954</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>893,962</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Johnson Diversey, Inc. Term Loan B, 5.50%, 11/24/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,612,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SIRVA Worldwide, Inc., Loan (Second Lien), 12.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/12/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45,045</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.23%, 4/02/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,702</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,382,380</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>West Corp., Incremental Term B-3 Loan, 7.25%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/24/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,434</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,468,123</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,544,388</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#151; 0.7%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safway First Out Term Loan, 9.00%, 12/14/17</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Welding Services Term Loan B, 9.35%, 12/16/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,502,394</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,002,394</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaimlerChrysler Financial Services Americas LLC,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 4.24% &#150; 6.25%, 8/03/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,870</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,781,953</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 1.7%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Anchor Glass Term Loan B, 6.00%, 2/18/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,300</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,277,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Holding Corp., Term C Loan, 2.25%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/03/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,856</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,555,320</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graham Packaging Co., LP:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B Term Loan, 2.50%, 10/07/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,435</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,415,434</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>C Term Loan, 6.75%, 4/05/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>753,602</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit-Stone Container, Revolving Credit:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.01% &#150; 4.50%, 11/01/09</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>313</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>311,791</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.20% &#150; 5.00%, 11/12/09</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>104</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>103,487</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C, 2.50%, 11/01/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>133,408</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-1 Term Loan, 2.50%, 11/01/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,335</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deposit Funded Facility, 4.50%, 11/01/10</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,208</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B, 2.50%, 11/01/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70,794</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,723,379</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#151; 2.0%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Service Corp., Term Loan, 3.26%, 11/14/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,930</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,399,298</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Laureate Education Term Loan B, 7.00%, 8/15/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,985</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,930,686</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,329,984</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 1.7%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., Tranche 2A Term Loan, 9.50% &#150; 9.75%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/20/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,303</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,382,998</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Holdings Inc., US Term Loan, 6.25%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/05/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,600</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,628,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,011,748</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#151; 2.0%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cavtel Holdings, LLC, Term Loan, 10.50%, 12/31/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>746</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>638,766</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,629</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,225,546</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.50%, 8/31/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,030</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,028,655</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 Communications, Incremental Term Loan, 7.59%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/13/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,975</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,779,558</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>64 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_66"></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="6%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 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 bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services (concluded)</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Telepacific Corp., Term Loan (Second Lien), 7.75%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/25/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>875</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 876,641</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wind Finance SL SA, Euro Facility (Second Lien),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.67%, 12/17/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,712,380</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,261,546</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electrical Equipment &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Baldor Electric Co., Term Loan, 5.25%, 1/31/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,690</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,694,080</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp;</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Components &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Flextronics International Ltd.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A Closing Date Loan, 2.48% &#150; 2.50%, 10/01/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>311</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>294,081</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.50%, 10/01/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,614</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,557,510</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>L-1 Identity Solutions Operating Co., Term Loan, 6.75%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/05/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,327</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,326,421</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safenet, Inc., Loan (Second Lien), 6.23%, 4/12/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,154,166</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,332,178</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#150; 0.5%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dresser, Inc., Term Loan (Second Lien), 6.00%, 5/04/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>467,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp., Tranche D Term Loan, 6.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/03/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,930</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,894,869</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,362,369</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#151; 3.6%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AB Acquisitions UK Topco 2 Ltd. (fka Alliance Boots),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.54%, 7/09/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,800</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,824,727</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bolthouse Farms, Inc. Term Loan B, 5.50%, 2/04/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,900</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,900,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.25%, 3/02/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>352,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.50%, 10/29/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,375</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,285,723</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pierre Foods Term Loan B, 8.50%, 9/30/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,254</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,250,865</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pilot Travel Centers Term Loan B, 3.50%, 11/18/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,516,226</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/10/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,175</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,289,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SUPERVALU Inc., Term B Advance, 1.48%, 6/02/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,256</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,218,115</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,636,956</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#151; 3.2%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dole Food Co., Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit-Linked Deposit, 7.89%, 4/12/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>442</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>442,020</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 5.50% , 2/10/17</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,618</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,618,456</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 5.50% , 2/10/17</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,882</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,884,294</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 8.00%, 4/12/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>607</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>606,922</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pilgrim&#146;s Pride Corp. Term Loan A, 5.29%, 12/01/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,773,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pinnacle Foods Finance LLC, Tranche C Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 4/02/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,400</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,418,071</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solvest, Ltd. (Dole), Tranche C Term Loan, 8.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/12/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,969</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,969,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,711,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#151; 1.3%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Biomet, Inc., Dollar Term Loan, 3.23% &#150; 3.25%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/25/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,645</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,525,866</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.23%, 5/20/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,654</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,564,509</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hologic, Inc., Tranche B Term Loan, 3.50%, 3/29/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120,193</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,210,568</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 4.7%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.50%, 7/25/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>316</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295,341</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Term Loan, 2.48% &#150; 2.50%, 7/25/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,184</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,778,329</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaVita, Inc., Tranche B-1 Term Loan, 1.73% &#150; 1.76%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/05/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>585,975</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fresenius SE:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B1 Term Loan, 6.75%, 9/10/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,080</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,090,614</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B2 Term Loan, 6.75%, 9/10/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,313</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,319,869</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="18%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 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 bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services (concluded)</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA Inc., Tranche A-1 Term Loan, 1.75%, 11/16/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,895</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,456,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HealthSouth Corp., Term Loan, 2.51%, 3/10/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>659</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>637,225</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vanguard Health Systems, Inc., Term Loan B, 5.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/29/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,400</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,404,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,567,822</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Healthcare, Term Loan B, 5.25%, 2/16/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,417,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels Restaurants &amp; Leisure &#151; 4.2%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.50%, 7/13/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,688</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,662,946</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cedar Fair LP, Term Loan B, 4.00%, 2/04/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,747,267</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Green Valley Ranch Gaming, LLC, Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.50%, 8/16/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>175,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-2 Loan, 3.25%, 1/28/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,856</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,498,045</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B-4 Loan, 9.50%, 10/31/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,991,666</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lake at Las Vegas Joint Venture / LLV-1, LLC (a)(f):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mezzanine, 20.00%, 10/01/10</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>74</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14.35%, 6/20/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>361</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,611</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 14.35% &#150; 20.00%, 6/20/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,934</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,343</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.98% &#150; 2.00%, 10/03/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,653</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,619,142</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>QCE, LLC (Quiznos), Term Loan (Second Lien), 2.56%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/05/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>728</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>621,316</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SW Acquisitions Co., Inc., Term Loan, 5.75%, 6/01/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,875</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,887,578</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Six Flags Theme Parks, Inc., Term Loan, 4.50%, 6/13/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,750</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,706,062</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funded Project Loan, 4.76%, 5/27/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,355</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,289,649</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,241,699</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#151; 0.2%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25% -6.50%, 3/25/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>576</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>541,318</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jarden Corp., Term Loan B3, 2.75%, 1/24/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>590,485</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,131,803</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#151; 3.0%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 5.76%, 8/28/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,616</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>161,556</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan (First Lien), 2.51%, 2/28/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,343</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>940,191</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ceridian Corp., US Term Loan, 3.23% &#150; 3.25%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/09/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,213</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,935,010</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp., Initial Tranche B-2 Term Loan, 3.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/24/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,204</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,154,413</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RedPrairie Corp., Term Loan B:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.25%, 7/20/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>242</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>234,574</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.31%, 7/20/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>402</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>389,926</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Incremental Term Loan, 6.75%, 2/28/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,982</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,992,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,808,495</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 1.4%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dynegy Holdings Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Letter of Credit Facility Term Loan, 3.98%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/02/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,897</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,850,999</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 3.98%, 4/02/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>153</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>149,005</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.73% &#150; 3.75%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/10/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,412</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,547,996</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.73% &#150; 3.75%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/10/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,126</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>901,043</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,449,043</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp., Term Loan, 3.51% &#150; 3.94%, 12/03/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,808</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,397,632</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, 2010 65</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_67"></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="63%"></TD>
     <TD width="8%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 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 bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alliant Holdings I, Inc., Term Loan, 3.25%, 8/21/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,704</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,608,572</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Channel Master Holdings, Inc. (a)(f)(g):</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolver, 8.31%, 11/15/04</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>128</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 9.00%, 11/15/04</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fender Musical Instruments Corp.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Loan, 2.51%, 6/09/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>658</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>557,454</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Loan, 2.51%, 6/09/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,302</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,103,589</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>True Temper Sports Debtor in Possession Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13.00%, 10/14/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>344</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>326,791</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,987,834</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#151; 1.8%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accuride, Term Loan, 9.75%, 1/31/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,290</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,285,230</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bucyrus International, Term Loan C, 4.50%, 1/26/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,513,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Oshkosh Truck Corp., Term B Loan, 6.25% &#150; 6.26%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/06/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,587,756</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,386,236</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 16.6%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alpha Topco Ltd. (Formula One), Facility D, 3.82%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/30/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>873,889</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Catalina Marketing Corp., Initial Term Loan, 2.98%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/01/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>433</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>417,414</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 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 bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,424,895</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cequel Communications, LLC, Tranche A Term Loan</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Second Lien), 4.75%, 5/05/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,870,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Charter Communications Operating, LLC, New Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.23%, 3/06/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,675</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,091,797</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FoxCo Acquisition Sub, LLC, Term Loan, 7.50%, 7/14/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,332</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,278,424</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Publishing Co. Ltd., Mezzanine, 17.50%, 11/14/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,186</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>146,269</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.50% &#150; 2.56%, 3/10/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,210</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>987,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harland Clarke Holdings Corp. (fka Clarke</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Corp.), Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.73% &#150; 2.75%, 6/30/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,272</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,987,045</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Insight Midwest Holdings, LLC, B Term Loan, 2.25%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/07/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,075</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,992,324</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-A Term Loan, 2.73%, 1/03/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>546,439</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-B Term Loan, 2.73%, 1/03/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>574</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>546,116</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-C Term Loan, 2.73%, 1/03/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>574</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>546,116</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.73%, 1/03/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>207</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>197,079</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lamar Media Corp.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B Incremental Loan, 5.50% &#150; 5.75%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/28/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,417</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,406,278</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series E Incremental Loan, 5.50% &#150; 5.75%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/31/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>940</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>939,772</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 5.50% 5.75%, 9/28/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,598</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,571,470</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Local TV Finance, LLC, Term Loan, 2.26%, 5/07/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>689</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>595,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MCC Iowa LLC (Mediacom Broadband Group),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche E Term Loan, 6.50%, 1/03/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,382</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,400,919</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 7.23%, 3/01/13 (h)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,289</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,005,369</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mediacom Illinois, LLC (fka Mediacom</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Communications, LLC), Tranche D Term Loan, 5.50%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/31/17</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,496</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,494,365</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20.50%, 4/09/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,421</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>853,895</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.98%, 12/18/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>494</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>392,112</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="65%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 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 bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media (concluded)</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Vision Exit Term Loan, 13.00%, 10/01/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>130</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 130,212</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Newsday, LLC, Floating Rate Term Loan, 6.50%, 8/01/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,506,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A Dollar Term Loan, 2.23%, 8/09/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>446</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>419,995</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B Dollar Term Loan, 3.98%, 5/01/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,123</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,992,251</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Penton Media, Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 9.25%, 2/01/14 (a)(f)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>66,666</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 2.48% &#150; 2.50%, 2/01/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>354,962</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sinclair Television Group, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 10/29/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,261,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Springer Science+Business Media SA, Facility A1,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 7/01/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,400</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,575,616</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 2.50%, 3/20/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,243</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,730,465</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,667</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,676,287</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Financing Partnership, Facility U, 4.99%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/31/17</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,100</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,664,080</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Investment Holdings Ltd.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B1 Facility, 4.17%, 7/30/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>653</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>985,603</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B1 Facility, 4.43%, 7/30/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>906</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,366,091</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B7 Facility, 4.40%, 9/03/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4246</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>630,106</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>C Facility, 4.40% , 9/03/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,028</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,527,924</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>C Facility, 3.58%, 7/17/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>854,656</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Worldcolor Press, Inc. and Worldcolor (USA) Corp.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(fka Quebecor World, Inc.), Advance, 9.00%, 7/23/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,386</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,410,141</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yell Group Plc TPI, Term Loan A, 2.48%, 8/09/11</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,675,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>76,393,667</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Transfer Equity, LP, Term Loan, 1.98%, 11/01/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>739,682</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 2.81%, 11/01/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>139</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>129,566</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Advance (First Lien), 2.75%, 11/01/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,528</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,425,749</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mach Gen, LLC, Synthetic Letter of Credit Loan</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 2.25%, 2/22/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63,604</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USPF Holdings, LLC, Term Loan, 1.98%, 4/11/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>607</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>599,898</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,958,499</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#151; 0.6%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 2.98% &#150; 3.00%, 7/07/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,963</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,904,868</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 2.98%, 7/07/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>427</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>410,628</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Neiman Marcus Group Inc., Term Loan, 2.26%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/06/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>745</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>668,679</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,984,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Big West Oil, LLC,:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Loan, 4.50%, 1/26/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,517</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,487,145</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,207</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,182,758</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Advance Loan, 9.75% , 5/15/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,075</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,080,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,750,278</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#151; 0.8%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgia-Pacific LLC, Term Loan B:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.24% &#150; 2.25%, 12/20/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,342</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,310,469</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.25% &#150; 2.26%, 12/23/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,615</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,553,743</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,864,212</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Personal Products &#151; 0.5%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Safety Razor Co., LLC:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 6.51%, 1/30/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>936,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 2.75% -2.76%, 7/31/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>824</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>747,515</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revlon Consumer Products Corp., Term Loan, 4.26%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/15/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>492,032</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,175,547</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, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_68"></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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 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 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 bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#151; 1.2%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Co., LLC, Term A Loan, 5.50%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/30/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 1,729</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,728,382</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Corp., Term B-1 Loan, 5.75%, 4/30/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,836</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,834,495</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,562,877</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Booz Allen Hamilton, Inc., Tranche B Term Loan, 7.50%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/31/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,362</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,377,152</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mattamy Funding Partnership, Loan, 2.56%, 4/11/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>888</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>812,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan B, 3.25% , 10/10/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,197</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,055,482</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term B Loan, 3.25% , 10/10/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,554</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,252,214</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 3.25%, 10/10/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>688</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>606,365</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,726,124</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#151; 1.0%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.98%, 10/21/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>611</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>588,904</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.48% &#150; 2.51%, 9/16/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>546</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>518,684</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, Inc.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.50% &#150; 2.56%, 10/31/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,521</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,370,137</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 4.75% &#150; 4.81%, 7/31/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,004</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,909,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,386,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hanesbrands, Inc., New Term Loan, 5.25%, 12/10/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,511,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.23% &#150; 2.25%, 9/30/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>928</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>871,947</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 1.5%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel International Finance Ltd., Tranche A, 2.81%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/30/12</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,154</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,960,957</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetroPCS Wireless, Inc., Tranche B Term Loan, 2.50%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/03/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,214</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,133,430</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,094,387</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Floating Rate Loan Interests &#151; 79.9%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>369,016,383</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beneficial</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Interests (i)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J.G. Wentworth LLC Preferred Equity Interests</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,944,443</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Other Interests &#151; 0.4%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,944,443</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Warrants (j)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#005595 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 0.0%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cumulus Media (expires 12/31/19)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,543</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,377</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Vision Holdings LLC (expires 9/30/14)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48,636</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,863</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $485,119,192) &#151; 97.7%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>451,639,916</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE style="WIDTH: 459px; HEIGHT: 1418px" border=0 cellSpacing=0>
<TR>
     <TD width="4%"></TD>
     <TD width="8%"></TD>
     <TD width="14%"></TD>
     <TD width="4%"></TD>
     <TD width="17%"></TD>
     <TD width="19%"></TD>
     <TD width="12%"></TD>
     <TD width="3%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=3 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=5 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class, 0.11% (k)(l)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=right>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,095,866</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 36,095,866</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=4 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=5 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#151; $36,095,866) &#151; 7.8%</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,095,866</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=6 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments (Cost &#151; $521,215,058*) &#151; 105.5%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>487,735,782</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=6 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#151; (5.5)%</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(25,438,452)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=3 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$462,297,330</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=9 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The cost and unrealized appreciation (depreciation) of investments as of February 28,</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2010, as computed for federal income tax purposes, were as follows:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 521,284,614</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9,925,386</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(43,474,218)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized depreciation</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (33,548,832)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a) Non-income producing security.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=9 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=8 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=4 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) Convertible security.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=9 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Represents a payment-in-kind security which may pay interest/dividends in addi-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tional face/shares.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=6 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Variable rate security. Rate shown is as of report date.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=8 align=left>&nbsp;<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>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=9 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) As a result of bankruptcy proceedings, the company did not repay the principal</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amount of the security upon maturity.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=9 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) Represents a payment-in-kind security which may pay interest/dividends in addi-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tional par/shares.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=9 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) Other interests represent beneficial interest in liquidation trusts and other reorgani-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>zation entities and are non-income producing.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=9 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(j) Warrants entitle the Fund to purchase a predetermined number of shares of com-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mon stock and are non-income producing. The purchase price and number of</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shares are subject to adjustment under certain conditions until the expiration date.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=9 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(k) Investments in companies considered to be an affiliate of the Fund, for purposes of</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=8 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=3 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 2,487,443</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14,974</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=6 align=left>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(l) Represents the current yield as of report date.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of February 28, 2010 were as follows:</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=3 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Settlement&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Appreciation</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 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" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><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" bgColor=#f1f1f2 align=right><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 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 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Depreciation)</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;USD&nbsp;&nbsp;&nbsp;19,197,704</FONT>&nbsp;&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT></TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,292,500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CitiBank NA</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/24/10</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,098,752</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=3 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP&nbsp;&nbsp;&nbsp;1,438,500&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; USD</FONT></TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,257,313</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CitiBank NA</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/21/10</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(64,758)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp; USD</FONT></TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>592,696</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT></TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 620,000&nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank USA</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/21/10</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,510</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp; USD</FONT></TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>803,493</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT></TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CitiBank NA</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/21/10</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,823</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=3 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp;&nbsp;&nbsp;&nbsp;8,489,253&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;GBP</FONT></TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,243,500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Morgan Stanley</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Services, Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/21/10</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>497,135</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,571,462</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;<FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=8 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=8 align=left><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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recognized market indexes or rating group indexes, and/or as defined by Master LLC</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>management. This definition may not apply for purposes of this report, which may</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>combine such industry sub-classifications for reporting ease.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&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, 2010 67</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_69"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded) </FONT><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=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fair Value Measurements &#151; Various inputs are used in determining the fair value of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments, which are as follows:</FONT><BR>
<FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#149; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#151; price quotations inactive markets/exchanges for identical assets</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and liabilities</FONT><BR>
<FONT color=#231f20 size=2 face=Frutiger-Roman,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 for</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar assets or liabilities in markets that are active, quoted prices for identical</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or 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=2 face=Frutiger-Roman,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>circumstances, 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 assumptions used in determining the face value of invest-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments)</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodologies used for valuing securities are not necessarily an indi-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cation 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 the Note 1 of the Notes to Financial Statements.</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="22%"></TD>
     <TD width="20%"></TD>
     <TD width="19%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD>
     <TD width="2%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of February 28, 2010 in</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>determining the fair valuation of the Master LLC&#146;s investments:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=7 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in Securities</FONT></B></TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Stocks</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 703,911</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 789,964</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 34,502</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,528,377</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72,691,479</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,456,371</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>79,147,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan Interests</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>314,769,878</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54,246,505</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>369,016,383</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,944,443</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,944,443</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warrants</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,377</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,863</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Short-Term</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,095,866</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,095,866</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$36,799,777</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$388,253,698</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$62,682,307</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$487,735,782</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=7 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Financial Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B></TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,636,220</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,039</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,638,259</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Liabilities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(64,758)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(103,303)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(168,061)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,571,462</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=3 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (101,264) $</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,470,198</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=7 align=left>&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>Other financial instruments are unfunded loan commitments and foreign</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=7 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts, which are shown at the unrealized appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depreciation on the instrument.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="36%"></TD>
     <TD width="17%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="1%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="9%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=4 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in Securities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Stocks</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Bonds</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan Interests&nbsp;&nbsp;</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interests</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Warrants</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2009</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16,332</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,417,361</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 97,288,159</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 777,120</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$104,498,972</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized gain (loss)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,718)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,699,270)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(44,038)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,747,026)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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>2</FONT></SUP>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,717</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,786,736</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,211,361</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,001,814</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net purchases (sales)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,011</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(37,558,238)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(37,519,227)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net transfers in/out of Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,170</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(17,570,882)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(17,552,226)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance, as of February 28, 2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 34,502</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,456,371</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 54,246,505</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,944,443</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 62,682,307</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=8 align=right><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>Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on securites still</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>held at February 28, 2010 was $11,128,072.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="67%"></TD>
     <TD width="15%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 other financial instruments for which significant</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unobservable inputs were used to determine fair value:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>3</FONT></SUP></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of August 31, 2009</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (112,385)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized gain (loss)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net purchases (sales)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net transfers in/out of Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,039</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,082</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance as of February 28, 2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,039</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (103,303)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&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>Other financial instruments are unfunded loan commitments.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&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>68 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
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     <TD width="41%"></TD></TR>
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     <TD bgColor=#f1f1f2 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 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 vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2010 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value - unaffiliated (cost &#151; $485,119,192)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 451,639,916</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value - affiliated (cost &#151; $36,095,866)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,095,866</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on foreign currency exchange contracts</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,636,220</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on unfunded loan commitments</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,039</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,065,997</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency at value &#151; (cost &#151; $771,509)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>767,029</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments sold receivable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,126,745</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest receivable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,637,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Contributions receivable from investors</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,205,505</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Principal paydown receivable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitment fees receivable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,792</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Prepaid expenses</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,214</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,001</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>516,214,299</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on foreign currency exchange contracts</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64,758</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on unfunded loan commitments</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>103,303</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments purchased payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,352,591</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment advisory fees payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>332,834</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other affiliates payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,660</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer's and Directors' fees payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>512</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other accrued expenses payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55,284</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other liabilities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,027</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,916,969</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 462,297,330</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investors' capital</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 494,191,973</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(31,894,643)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 462,297,330</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=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 69</FONT></P>
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<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statement of Operations</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended February 28, 2010 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14,517,352</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income - affiliated</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,974</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>184,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,716,976</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment advisory</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,165,409</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Professional</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>84,391</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accounting services</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>79,597</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Custodian</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,279</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer and Directors</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,782</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Printing</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,190</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41,472</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses excluding interest expense</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,420,120</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,110</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,436,230</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Less fees waived by advisor</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,789)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,429,441</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,287,535</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized loss from:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19,313,686)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(500,317)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(623,362)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(20,437,365)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,601,613</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>290,086</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency transactions</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,909,813</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded loan commitments</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,121</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>44,812,633</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total realized and unrealized gain</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,375,268</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Increase in Net Assets Resulting from Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 36,662,803</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="59%"></TD>
     <TD width="30%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statement of Changes in Net Assets</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 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 vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 1px solid" bgColor=#f1f1f2 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 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 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12,287,535</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 27,640,754</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized loss</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(20,437,365)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(49,899,586)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>44,812,633</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16,926,300)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,662,803</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(39,185,132)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Proceeds from contributions</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,885,341</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45,763,562</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Value of withdrawals</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(52,534,771)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(132,042,492)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(37,649,430)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(86,278,930)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(986,627)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(125,464,062)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>463,283,957</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>588,748,019</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 462,297,330</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 463,283,957</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>70 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_72"></A>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="72%"></TD>
     <TD width="27%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statement of Cash Flows</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended February 28, 2010 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase in net assets resulting from operations, excluding dividends to Preferred Shareholders</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 36,662,803</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 provided by operating activities:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in interest receivable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(666,329)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in commitment fees receivable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,792)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in other assets</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>184,285</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in investment advisor payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(34,691)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in other affiliates payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,218</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in accrued expenses payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(54,809)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in deferred income</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(142,136)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in swaps payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(32,025)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in other liabilities</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,575)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in officers and directors payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(213)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swap premium received</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>52,260</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized and unrealized gain-net</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(24,128,369)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&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 bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,669,933)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Paid-in-kind income</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(197,900)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Proceeds from sales and paydowns of long-term investments</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>256,294,242</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases of long-term investments</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(222,971,306)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Purchases of short-term securities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,487,443)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,797,287</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Proceeds from issuance of Common Stock</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,428,091</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash Payments on Common Stock</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(52,534,771)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash receipts from borrowings</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,000,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash payments from borrowings</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(32,000,000)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash used for financing activities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(38,106,680)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,465)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase in cash</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,686,142</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>146,884</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,833,026</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16,110</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=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 71</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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     <TD bgColor=#f1f1f2 align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=3 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 vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
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     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
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<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28,</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 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 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=center><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 align=center><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 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 1px solid" bgColor=#f1f1f2 align=center><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 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2005</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.21%</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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.23)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 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 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 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.78%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.07%</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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.05%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 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 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.01%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.07%</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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.05%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 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 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.01%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and excluding interest expense</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.06%</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 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 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 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 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.01%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.42%</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 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" bgColor=#f1f1f2 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 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 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.52%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 462,297</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 463,284</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 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 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,032,819</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 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 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" bgColor=#f1f1f2 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 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 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,105</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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" bgColor=#f1f1f2 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 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 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 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 align=left>&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>Aggregate total investment return.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&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>Annualized.</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&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>72 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<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><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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>and is organized as a Delaware limited liability company. The Master LLC&#146;s</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Limited Liability Company Agreement permits the Board of Directors of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC (the &#147;Board&#148;) to issue nontransferable interests, subject</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to certain limitations. The Master LLC&#146;s financial statements are prepared</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in conformity with accounting principles generally accepted in the United</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>States of America, which may require the use of management accruals</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and estimates. Actual 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: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC&#146;s policy is to fair value its financial instruments</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>at market value. The Master LLC values its bond investments on the basis</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of last available bid prices or current market quotations provided by deal-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ers or pricing services selected under the supervision of the Master LLC&#146;s</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 a pricing service. 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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in such investments, quotations from dealers, pricing matrixes, market</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transactions in comparable investments, various relationships observed in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the market between investments and calculated yield measures based on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>valuation technology commonly employed in the market for such invest-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments. Swap agreements are valued utilizing quotes 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 which are derived using</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>daily swap curves and trades of underlying securities. Investments in open-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>end investment companies are valued at net asset value each business</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>day. Short-term securities with remaining maturities of 60 days or less may</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be valued at amortized cost, which approximates fair 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</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>In the event that application of these methods of valuation results in a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>price for an investment which is deemed not to be representative of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market value of such investment or is not available, the investment will</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be valued by a method approved by the Master LLC&#146;s Board as reflecting</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fair value (&#147;Fair Value Assets&#148;). When determining the price for Fair Value</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets, the investment advisor and/or the 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 the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>current sale of that asset in an arm&#146;s-length transaction. Fair value deter-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>minations shall be based upon all available factors that the investment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>advisor and/or sub-advisor deems relevant. The pricing of all Fair Value</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets is subsequently reported to the Board or a committee thereof.</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Generally, trading in foreign instruments is substantially completed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each day at various times prior to the close of business on the NYSE.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Occasionally, events affecting the values of such instruments may occur</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between the foreign market close and the close of business on the NYSE</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that may not be reflected in the computation of the Master LLC&#146;s net</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets. If events (for example, a company announcement, market volatility</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or a natural disaster) occur during such periods that are expected to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>materially affet the value of such instruments, those instruments may be</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fair Value Assets and 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.</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 in-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>vestment 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 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 may invest in floating rate loans,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which are generally non-investment grade, made by banks, other financial</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutions and privately and publicly offered corporations. Floating rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loans are senior in the debt structure of a corporation. 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 determined by reference</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to a base lending rate plus a premium. The base lending rates are gener-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ally (i) the lending rate offered by one or more European banks, such as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more US banks or (iii) the certificate of deposit rate. The Master LLC</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>considers these investments to be investments in debt securities for pur-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>poses of their 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 rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loans. Other fees earned/paid include commitment, amendment, consent</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and prepayment penalty fees. Facility, commitment and amendment fees</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are typically amortized over the term of the loan. Consent fees and various</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other fees are recorded as income. Prepayment penalty fees are recorded</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as realized gains. When the Master LLC buys a floating rate loan it may</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>receive a facility fee and when it sells a floating rate loan it may pay a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>facility fee. On an ongoing basis, the Master LLC may receive a commit-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment fee based on the undrawn portion of the underlying line of credit</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>portion of a floating rate loan. In certain circumstances, the 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 the 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></P>
<P align=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 73</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><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>(&#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><BR>
<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 the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interpretive positions of the SEC require that the Master LLC either delivers</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>collateral or segregates assets in connection with certain investments (e.g.,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>swaps and foreign currency exchange contracts), the Master LLC will, con-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sistent with SEC rules and/or certain interpretive letters issued by the SEC,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>segregate collateral or designate on its books and records cash or other</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>liquid securities having a market value at least equal to the amount that</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>would otherwise be required to be physically segregated. Furthermore,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on requirements and agreements with certain exchanges and third</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>party broker-dealers, each party has requirements to deliver/deposit secu-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rities as collateral for certain investments.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Investment Transactions and Investment Income: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For financial reporting</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>purposes, investment transactions are recorded on the dates the trans-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>actions are entered into (the trade dates). Realized gains and losses</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on investment transactions are determined on the identified cost basis.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as owner of its proportionate share of the net assets, income, expenses</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and realized and unrealized gains and losses of the Master LLC. Therefore,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>no federal income tax provision is required. It is intended that the Master</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC&#146;s assets will be managed so an investor in the Master LLC can satisfy</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the 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, 2009. 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></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Recent Accounting Standards: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In June 2009, amended guidance was</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>issued by the Financial Accounting Standards Board (&#147;FASB&#148;) for transfers</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of financial assets. This guidance is intended to improve the relevance,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>representational faithfulness and comparability of the information that a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reporting entity provides in its financial statements about a transfer of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial assets; the effects of a transfer on its financial position, financial</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>performance, and cash flows; and a transferor&#146;s continuing involvement, if</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>any, in transferred financial assets. The amended guidance 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, 2009. Earlier application is prohibited. The recognition</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and measurement provisions of this guidance must be applied to transfers</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>occurring on or after the effective date. Additionally, the enhanced disclo-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sure provisions of the amended guidance should be applied to transfers</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that occurred both before and after the effective date of this guidance. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>impact of this guidance on the Master LLC&#146;s financial statements and dis-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closures, if any, is currently being assessed.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In January 2010, the FASB issued amended guidance to improve</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>disclosure about fair value measurements which will require additional</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>disclosures about transfers into and out of Levels 1 and 2 and separate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>disclosures about purchases, sales, issuances and settlements in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reconciliation for fair value measurements using significant unobservable</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>inputs (Level 3). It also clarifies existing disclosure requirements relating</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the levels of disaggregation for fair value measurement and inputs and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>valuation techniques used to measure fair value. The amended guidance is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>effective for financial statements for fiscal years and interim periods begin-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ning after December 15, 2009 except for disclosures about purchases,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sales, issuances and settlements in the rollforward of activity in Level 3 fair</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value measurements, which are effective for fiscal years beginning after</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>December 15, 2010, and for interim periods within those fiscal years. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>impact of this guidance on the Master LLC&#146;s financial statements and dis-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closures is currently being assessed.</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 the Master LLC are charged to the</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. The Master LLC has an arrangement with its custo-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>dian whereby fees may be reduced by credits earned on uninvested cash</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>balances, which if applicable are shown as fees paid indirectly in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Statement of Operations. The custodian imposes fees on overdrawn cash</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>balances, which can be offset by accumulated credits earned or may result</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in additional custody charges.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>2. Derivative Financial Instruments:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC may engage in various portfolio investment strategies</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>both to increase the return of the Master LLC and to economically hedge,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or protect, its exposure to certain risks such as credit risk and foreign</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange rate risk. Losses may arise if the value of the contract</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>decreases due to an unfavorable change in the price of the underlying</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instrument or if the counterparty does not perform under the contract. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC may mitigate counterparty risk through master netting agree-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments included within an International Swap and Derivatives Association,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inc. (&#147;ISDA&#148;) Master Agreement between the Master LLC and each of its</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparties. The ISDA Master Agreement allows the Master LLC to offset</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>74 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</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><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>with its counterparty certain derivative financial instrument&#146;s payables</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and/or receivables with collateral held with each counterparty. The amount</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of collateral moved to/from applicable counterparties is based upon mini-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mum transfer amounts of up to $500,000. To the extent amounts due to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC from its counterparties are not fully collateralized contractu-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ally or otherwise, the Master LLC bears the risk of loss from counterparty</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>non-performance. See Note 1 &#147;Segregation and Collateralization&#148; for infor-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mation with respect to collateral practices.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC&#146;s maximum risk of loss from counterparty credit risk on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>over-the counter (&#147;OTC&#148;) derivatives is generally the aggregate unrealized</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>gain in excess of any collateral pledged by the counterparty to the Master</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC. Certain ISDA Master Agreements allow counterparties to OTC deriva-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tives to terminate derivative contracts prior to maturity in the event the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC&#146;s net assets decline by a stated percentage or the Master LLC</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fails to meet the terms of its ISDA Master Agreements, which would</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cause the Master LLC to accelerate payment of any net liability owed to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the counterparty.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Foreign Currency Exchange Contracts: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC may enter into for-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>eign currency exchange contracts as an economic hedge against either</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>specific transactions or portfolio positions (foreign currency exchange rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risk). A foreign currency exchange contract is an agreement between two</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>parties to buy and sell a currency at a set exchange rate on a future date.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign 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 daily</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and the change in market value is recorded by the Master LLC as an unre-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>alized gain or loss. When the contract is closed, the Master LLC 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 at the time</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>it was opened and the value at the time it was closed. The use of foreign</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts involves the risk that counterparties may not</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>meet the terms of the agreement or unfavorable movements in the value</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of a foreign currency relative to the US dollar.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Swaps: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC may enter into swap agreements, in which the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC and a counterparty agree to make periodic net payments on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a specified notional amount. These periodic payments received or made</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the Master LLC are recorded in the Statement of Operations as realized</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>gains or losses, respectively. Any upfront fees paid are recorded as assets</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and any upfront fees received are recorded as liabilities and amortized</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>over the term of the swap. Swaps are marked-to-market daily and changes</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in value are recorded as unrealized appreciation (depreciation). When</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the swap is terminated, the Master LLC will record a realized gain or loss</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>equal to the difference between the proceeds from (or cost of) the closing</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transaction and the Master LLC&#146;s basis in the contract, if any. Swap trans-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>actions involve, to varying degrees, elements of interest rate, credit and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market risk in excess of the amounts recognized in the Statement of Assets</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Liabilities. Such risks involve the possibility that there will be no liquid</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market for these agreements, that the counterparty to the agreements may</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default on its obligation to perform or disagree as to the meaning of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contractual terms in the agreements, and that there may be unfavorable</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>changes in interest rates and/or market values associated with these</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transactions.</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,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 to manage its exposure to the market or certain sectors of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market, to reduce its risk exposure to defaults of corporate and/or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sovereign issuers or to create exposure to corporate and/or sovereign</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>issuers to which it is not otherwise exposed (credit risk). The Master LLC</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>enters into credit default agreements to provide a measure of protec-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion against the default of an issuer (as buyer 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). The Master LLC may either buy or sell (write)</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit default swaps on single-name issuers (corporate or sovereign) or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>traded indexes. Credit default swaps on single-name issuers are agree-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments in which the buyer pays fixed periodic payments to the seller in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>consideration for a guarantee from the seller to make a specific pay-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment should a negative credit event take place (e.g., bankruptcy, failure</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to pay, obligation accelerators, repudiation, moratorium or restructuring).</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on traded indexes are agreements in which the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>buyer pays fixed periodic payments to the seller in consideration for a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>guarantee from the seller to make a specific payment should a write-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>down, principal or interest shortfall or default of all or individual under-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lying securities included in the index occurs. As a buyer, if an underlying</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit event occurs, the Master LLC will either receive from the seller an</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amount equal to the notional amount of the swap and deliver the refer-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>enced security or underlying securities comprising of an index or receive</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a net settlement of cash equal to the notional amount of the swap less</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the recovery value of the security or underlying securities comprising of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>an index. As a seller (writer), if an underlying credit event occurs, the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC will either pay the buyer 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 take delivery of the referenced security or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underlying securities comprising of an index or pay a net settlement of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cash equal to the notional amount of the swap less the recovery value</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the security or underlying securities comprising of an index.</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="32%"></TD>
     <TD width="36%"></TD>
     <TD width="17%"></TD>
     <TD width="13%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Derivatives Instruments Categorized by Risk Exposure:</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=4 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Values of Derivative Instruments as of February 28, 2010</FONT></B></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset Derivatives</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Liability&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Derivatives</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Statement</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Statement</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>of Assets and</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>of Assets and</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center>&nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Location Value</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Location</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>appreciation</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depreciation</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on foreign</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on foreign</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>curency</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts $1,636,220</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$64,758</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=4 align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>The Effect of Derivative Instruments on the Statement of Operations</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=4 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended February 28, 2010</FONT></B></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=4 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Realized Gain (Loss) from</FONT></B></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency transactions</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (516,772)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit contracts:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(500,317)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(1,017,089)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 75</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued) </FONT><B><FONT color=#005595 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="76%"></TD>
     <TD width="23%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Change in Unrealized Appreciation/Depreciation on</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency transactions</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,772,384</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit contracts:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>290,086</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,062,470</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2010, the average quarterly</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>balance of outstanding derivative financial instruments was as follows:</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts&#151;US dollars purchased</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts&#151;US dollars sold</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average US dollar amounts purchased</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$28,717,937</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average US dollar amounts sold</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,128,656</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>3. Investment Advisory Agreements 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>The PNC Financial Services Group, Inc. ("PNC"), Bank of America</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporation ("BAC"), and Barclays Bank PLC ("Barclays") are the largest</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>stockholders of BlackRock, Inc. ("BlackRock"). Due to the ownership</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>structure, PNC is an affiliate for 1940 Act purposes, but BAC and Barclays</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are not.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC has 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;Manager&#148;), the Master LLC&#146;s investment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>advisor, an indirect, wholly owned subsidiary of BlackRock, to provide</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment advisory and administration services.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Manager is responsible for the management of the Master LLC&#146;s portfo-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lio 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 Manager a monthly fee at an annual</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate 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 Manager 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 Manager,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>under which the Manager 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 a percentage of the investment advisory fees paid by the Master LLC</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the Manager.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Manager has voluntarily agreed to waive its advisory fees by the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amount of investment advisory fees the Master LLC pays to the Manager</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>indirectly through its investment in affiliated money market funds; however,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Manager does not waive its advisory fees by the amount of investment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>advisory fees through its investment in other affiliated investment compa-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>nies. This amount is shown as fees waived by advisor in the Statement</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Operations.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended February 28, 2010, the Master LLC reimbursed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Manager $3,951 for certain accounting services, which is 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 or its affiliates.</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>4. Investments:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases and sales of investments, including paydowns and 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, 2010 were</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$253,714,452 and $271,526,468, respectively.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>5. 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 group</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of lenders, which was renewed until November 2010. The Master LLC may</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrow under the credit agreement to fund shareholder redemptions and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for other lawful purposes other than for leverage. The Master LLC may bor-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>row up to the maximum amount allowable under the Master LLC&#146;s current</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Prospectus and Statement of Additional Information, subject to various</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other legal, regulatory or contractual limits. Prior to its renewal the credit</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreement had the following terms: 0.02% upfront fee on the aggregate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commitment amount which was allocated to the Master LLC based on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>its net assets as of October 31, 2008; a commitment fee of 0.08% per</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>annum based on the Master LLC&#146;s pro rata share of the unused portion of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the credit agreement, which is included in miscellaneous in the Statement</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Operations, and interest at a rate equal to the higher of the (a) federal</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>funds effective rate and (b) reserve adjusted one-month LIBOR, plus, in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each case, the higher of (i) 1.50% and (ii) 50% of the CDX Index (as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>defined in the credit agreement) on amounts borrowed. Effective November</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2009, the credit agreement was renewed with the following terms: 0.02%</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>upfront fee on the aggregate commitment amount which was allocated to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC based on its net assets as of October 31, 2009, a commit-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment fee of 0.10% per annum on the Master LLC&#146;s pro rata share of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unused portion of the credit agreement and interest at a rate equal to the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>higher of the (a) one-month LIBOR plus 1.25% per annum and (b) the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fed Funds rate plus 1.25% per annum on amounts borrowed. For the six</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>months ended February 28, 2010, the daily average weighted interest</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate was 1.54%.</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>LLC&#146;s 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 generally approximated by their value recorded in the Master</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC&#146;s Statement of Assets and Liabilities, less any collateral held by the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>76 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_78"></A>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (concluded) </FONT><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>7. 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 Mater LLC 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 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><BR>
<BR>
<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, 2010, 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="46%"></TD>
     <TD width="34%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitment</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><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 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 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" bgColor=#f1f1f2 align=center><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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Vision</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,185</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,082</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vought Aircraft Industries, Inc</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 40</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 42</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>8. Subsequent Events:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Management has evaluated the impact of all subsequent events on the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC through the date that the financial statements were issued and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>has determined that there were no subsequent events requiring adjustment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or additional disclosure in the financial statements.</FONT></P>
<P align=left><FONT color=#005595 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Officers and Directors</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Richard E. Cavanagh, Chairman of the Board and Director</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 Audit Committee</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Director</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>G. Nicholas Beckwith, III, Director</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Richard S. Davis, Director</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Frank J. Fabozzi, Director and Member of the Audit Committee</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kathleen F. Feldstein, Director</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>James T. Flynn, Director and Member of the Audit Committee</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Henry Gabbay, Director</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jerrold B. Harris, Director</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>R. Glenn Hubbard, Director</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>W. Carl Kester, Director and Member of the Audit Committee</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Anne Ackerley, Fund President and Chief Executive Officer</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brendan Kyne, Vice President</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Neal Andrews, Chief Financial Officer</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jay Fife, Treasurer</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brian Kindelan, Chief Compliance Officer of the Funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Howard Surloff, Secretary</FONT></P>
<P align=left><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Advisor</FONT></B><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Advisors, LLC</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>Sub-Advisor</FONT></B><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Financial</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Management, Inc.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT><BR>
<BR>
<B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Custodians</FONT></B><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State Street Bank and Trust Company</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boston, MA 02111</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Bank of New York Mellon</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP><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 Agents</FONT></B><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Common Shares</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Computershare Trust Company, N.A.</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Providence, RI 02940</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PNC Global Investment Servicing</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(U.S.) Inc.</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP><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>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></P>
<P align=left><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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&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>Address of the Funds</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><BR>
<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>For BHL, DVF, FRA, and BLW.</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>For Senior Floating Rate and</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate II.</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Effective January 1, 2010, Kent Dixon, a Director of the Funds, retired.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Effective March 31, 2010, G. Nicholas Beckwith, III, a Director of the Funds, resigned.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds&#146; Board of Directors wishes both Mr. Dixon and Mr. Beckwith well.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 77</FONT></P>
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<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>Dividend Policy</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds&#146; dividend policy is to distribute all or a portion of their net</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment income to its shareholders on a monthly basis. In order to pro-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>vide shareholders with a more stable level of dividend distributions, the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds may at times pay out less than the entire amount of net investment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income earned in any particular month and may at times in any particular</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>month pay out such accumulated but undistributed income in addition to</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>net investment income earned in that month. As a result, the dividends</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>paid by the Funds for any particular month may be more or less than the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amount of net investment income earned by the Funds during such month.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds&#146; current accumulated but undistributed net investment income,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if any, is disclosed in the Statements of Assets and Liabilities, which com-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prises part of the financial information included in this report.</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-MedCnd,Arial,Helvetica,sans-serif>Electronic Delivery</FONT><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><BR>
<BR>
<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><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Householding</FONT><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 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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>otherwise. If you do not want the mailing of these documents to be</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>combined with those for other members of your household, please</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>call (800) 441-7762.</FONT></P>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Availability of Quarterly Schedule of Investments</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each Fund/Master LLC files its complete schedule of portfolio holdings</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with the Securities and Exchange Commission (&#147;SEC&#148;) for the first and third</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quarters of each fiscal year on Form N-Q. The Funds&#146;/Master LLC&#146;s Forms</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>N-Q are available on the SEC&#146;s website at http://www.sec.gov and may</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>also be reviewed and copied at the SEC&#146;s Public Reference Room in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Washington, DC. Information on the operation of the Public Reference</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Room may be obtained by calling (202) 551-8090. Each Fund&#146;s/Master</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC&#146;s Forms N-Q may also be obtained upon request and without charge</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by calling (800) 441-7762.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Availability of Proxy Voting Policies and Procedures</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A description of the policies and procedures that each Fund/Master LLC</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>uses to determine how to vote proxies relating to portfolio securities is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>available (1) without charge, upon request, by calling (800) 441-7762; (2)</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>at www.blackrock.com; and (3) on the SEC&#146;s website at http://www.sec.gov.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Availability of Proxy Voting Record</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Information about how the Funds/Master LLC voted proxies relating to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities held in each Fund&#146;s/Master LLC&#146;s portfolio during the most</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recent 12-month period ended June 30 is available upon request and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>without charge (1) at www.blackrock.com or by calling (800) 441-7762</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and (2) on the SEC&#146;s website at http://www.sec.gov.</FONT></P>
<P align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>78 SEMI-ANNUAL REPORT FEBRUARY 28, 2010</FONT></P>
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<A name="page_80"></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>Section 19(a) Notices</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These reported amounts and sources of distributions are estimates and are not provided for tax reporting purposes. The actual amounts and sources for tax</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reporting purposes will depend upon each Fund&#146;s investment results during the year and may be subject to changes based on tax regulations. Each Fund</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>will provide a Form 1099-DIV for the calendar year that will explain the character of these dividends and distributions for federal income tax purposes.</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="23%"></TD>
     <TD width="19%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD>
     <TD width="7%"></TD>
     <TD width="8%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD>
     <TD width="6%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>February 28, 2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Cumulative Distributions</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>% Breakdown of the Total Cumulative</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>for the Fiscal Year-to-Date</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Distributions for the Fiscal Year-to-Date</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Realized</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Per</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Realized</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Per</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Return of</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Return of</FONT></B>&nbsp;</TD>
     <TD align=center><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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Gains</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" 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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Gains</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.34200</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.34200</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.37571</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.06529</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.44100</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.42400</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.06500</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.48900</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13%</FONT>&nbsp;</TD>
     <TD align=center><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" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLW</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.42000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.42000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" 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" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each Fund estimates that it has distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a return of capital. A return of capital may occur, for example, when some or all of the shareholder&#146;s investment in a Fund is returned to the shareholder.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A return of capital does not necessarily reflect a Fund&#146;s investment performance and should not be confused with &#145;yield&#146; or &#145;income.&#146;</FONT></P>
<P align=left><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 for-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mer fund investors and individual clients (collectively, &#147;Clients&#148;) and to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>safeguarding their non-public personal information. The following infor-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mation is provided to help you understand what personal information</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock collects, how we protect that information and why in certain</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cases we share 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 those</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 we</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>receive from you or, if applicable, your financial intermediary, on applica-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions, 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 consumer</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to 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>SEMI-ANNUAL REPORT FEBRUARY 28, 2010 79</FONT></P>
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<P align=left><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. and BlackRock Senior Floating Rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund II, Inc. leverage their Common Shares, which creates risk for Common Shareholders, including the likelihood of greater volatility of net asset value and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares&#146; yield. Statements and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other information herein are as dated and are subject to change.</FONT></P>
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<P align="left">
<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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Stockholders filed under 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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the previous 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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Investment Companies &#150; 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; Not Applicable to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 9 &#150; Purchases of Equity Securities by Closed-End Management Investment Company and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Affiliated 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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Governance Committee will consider nominees to the board of directors recommended by</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">shareholders when a vacancy becomes available. Shareholders who wish to recommend a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">nominee should send nominations that include biographical information and set forth the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">qualifications of the proposed nominee to the registrant&#146;s Secretary. There have been no</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">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>
<P align="left">
<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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">similar functions have concluded that the registrant&#146;s disclosure controls and procedures (as</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#147;1940 Act&#148;)) are effective as of a date within 90 days of the filing of this report based on the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and Rule 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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of the period covered by this report that have materially affected, or are reasonably likely to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">materially affect, the registrant&#146;s internal control over financial reporting.</FONT></P>
<P align="left">
<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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the undersigned, thereunto duly authorized.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT></P>
<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">By: </FONT><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Anne F. Ackerley</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Anne F. Ackerley</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></P>
<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: </FONT><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">April 28, </FONT><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2010</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Company Act of 1940, this report has been signed below by the following persons on behalf</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of the registrant and in the capacities and on the dates indicated.</FONT></P>
<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">By: </FONT><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Anne F. Ackerley</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Anne F. Ackerley</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>
<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: </FONT><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">April 28, </FONT><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2010</FONT></P>
<P align="left">
<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></P>
<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: </FONT><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">April 28, </FONT><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2010</FONT></P>

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<TYPE>EX-99.CERT
<SEQUENCE>6
<FILENAME>fraex99cert.htm
<DESCRIPTION>CERT
<TEXT>

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   <TITLE>fraex99cert.htm - Produced by Pellegrini and Associates, Inc.  |  134 Spring Street New York NY 10012  |  (212) 925-5151</TITLE>
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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></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">I, Anne F. Ackerley, 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></P>
<P align="left"> <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></P>
<P align="left"> <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></P>
<P align="left"> <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></P>
<P align="left"> <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></P>
<P align="left"> <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></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: April 28, 2010</FONT><BR>
<BR>
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Anne F. Ackerley</FONT></U></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Anne F. Ackerley</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>
<HR noshade align="center" width="100%" size=2>
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<A name="page_2"></A>
<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></P>
<P align="left"> <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 Strategies</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Fund, Inc., certify that:</FONT></P>
<P align="left"> <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></P>
<P align="left"> <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></P>
<P align="left"> <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></P>
<P align="left"> <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></P>
<P align="left"> <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></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: April 28, 2010</FONT><BR>
<BR>
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Neal J. Andrews</FONT></U></P>
<P align="left"> <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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<DOCUMENT>
<TYPE>EX-99.906 CERT
<SEQUENCE>7
<FILENAME>frasec906.htm
<DESCRIPTION>CERT
<TEXT>

<HTML>
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   <TITLE>frasec906.htm - Produced by Pellegrini and Associates, Inc.  |  134 Spring Street New York NY 10012  |  (212) 925-5151</TITLE>
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<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exhibit 99.1350CERT</FONT></P>
<P align="center"> <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></P>
<P align="left"> <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 her knowledge, that the registrant's Report on Form N-CSR for the period</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">ended February 28, 2010, (the &#147;Report&#148;) fully complies with the requirements of Section 13(a) of the Securities Exchange</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial condition and results of operations of the registrant.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: April 28, 2010</FONT><BR>
<BR>
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Anne F. Ackerley</FONT></U></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Anne F. Ackerley</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>
<P align="left"> <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, 2010, (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: April 28, 2010</FONT><BR>
<BR>
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Neal J. Andrews</FONT></U></P>
<P align="left"> <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>
<P align="left"> <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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