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<SEC-DOCUMENT>0000900092-10-001184.txt : 20101108
<SEC-HEADER>0000900092-10-001184.hdr.sgml : 20101108
<ACCEPTANCE-DATETIME>20101108145339
ACCESSION NUMBER:		0000900092-10-001184
CONFORMED SUBMISSION TYPE:	N-CSR
PUBLIC DOCUMENT COUNT:		10
CONFORMED PERIOD OF REPORT:	20100831
FILED AS OF DATE:		20101108
DATE AS OF CHANGE:		20101108
EFFECTIVENESS DATE:		20101108

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-CSR
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-21413
		FILM NUMBER:		101171956

	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-CSR
<SEQUENCE>1
<FILENAME>fra.htm
<DESCRIPTION>FRA
<TEXT>

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<FONT size=3 face="ArialMT,Arial,Helvetica,sans-serif">UNITEDSTATES</FONT><BR>
<FONT size=3 face="ArialMT,Arial,Helvetica,sans-serif">SECURITIESANDEXCHANGECOMMISSION</FONT><BR>
<FONT size=3 face="ArialMT,Arial,Helvetica,sans-serif">Washington,D.C.20549</FONT><BR>
<BR>
<B><FONT size=3 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">FORM N-CSR</FONT></B><BR>
<BR>
<B><FONT size=3 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT</FONT></B><BR>
<B><FONT size=3 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">INVESTMENT COMPANIES</FONT></B></P>
<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Investment Company Act file number 811-21413</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: 08/31/2010</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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<P style="TEXT-ALIGN: left"><FONT size=5 face="CorporateE-Regular,Times New Roman,Times,serif">Annual Report</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=CorporateS-Light,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=CorporateS-Light,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=CorporateS-Light,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=CorporateS-Light,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=CorporateS-Light,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund, Inc.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=CorporateS-Light,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund II, Inc.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#231f20 size=3 face=CorporateS-Medium,Arial,Helvetica,sans-serif>August 31, 2010</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#231f20 size=1 face="CorporateE-Bold,Times New Roman,Times,serif">Not FDIC Insured &#149; No Bank Guarantee &#149; May Lose Value</FONT></B></P>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Table of Contents</FONT>&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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right><B><FONT color=#004a91 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>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 for Continuously Offered Closed-End Funds</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 style="TEXT-INDENT: 4px" align=left><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 style="TEXT-INDENT: 4px" align=left><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>41</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 4px" align=left><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>43</FONT>&nbsp;</TD></TR>
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     <TD style="TEXT-INDENT: 4px" align=left><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>45</FONT>&nbsp;</TD></TR>
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     <TD style="TEXT-INDENT: 4px" align=left><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>48</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>49</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>55</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund Report of Independent Registered Public Accounting Firm</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>67</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Important Tax Information</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>68</FONT>&nbsp;</TD></TR>
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     <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>69</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 style="TEXT-INDENT: 4px" align=left><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>70</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 4px" align=left><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>76</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 4px" align=left><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>77</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 4px" align=left><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>77</FONT>&nbsp;</TD></TR>
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     <TD style="TEXT-INDENT: 4px" align=left><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>78</FONT>&nbsp;</TD></TR>
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     <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>79</FONT>&nbsp;</TD></TR>
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     <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>80</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 Report of Independent Registered Public Accounting Firm</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Disclosure of Investment Advisory Agreements and Sub-Adbisory Agreements</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>86</FONT>&nbsp;</TD></TR>
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     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Automatic Dividend Reinvestment Plans</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>90</FONT>&nbsp;</TD></TR>
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     <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>91</FONT>&nbsp;</TD></TR>
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     <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>94</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>2 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 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 global economic recovery continues, although global and US economic statistics show that the pace of economic growth has slowed. The sovereign debt</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>crisis in Europe, slowing growth in China and concerns over the possibility that the United States and other developed markets are heading for a double-dip</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recession have all acted to depress investor sentiment. Despite broadening evidence of a slowdown in global economic activity, market volatility has normal-</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ized from the extreme levels seen in recent months. In the United States, economic data continues to be mixed, but it is our view that the preponderance of</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>data suggests that the recovery is continuing. The critical issue for investors remains the question of whether the economy will experience a double-dip</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recession. We are on the optimistic side of this debate and would point out that while the recovery has been slow, we have made significant progress.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Global equity markets have moved unevenly higher since bottoming out in early 2009 as investors were enticed by depressed valuations, improved</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>corporate earnings, and their desire for higher yields. Several significant downturns, however, have occurred &#151; primarily as a result of mixed economic</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>data and concerns about the possibility of prolonged deflation (especially in Europe). As the period drew to a close, equity markets lost ground on weaker-</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>than-expected economic data, most notably from the United States. International equities posted negative returns on both a six- and 12-month basis while</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US equities posted negative returns over the six months, but were still showing positive returns on a 12-month basis as the domestic economic recovery</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>had been more pronounced and credit-related issues held European markets down. Within the United States, smaller cap stocks continue to outperform</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>large caps year-to-date.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In fixed income markets, yields have fluctuated significantly over the past year as economic data has been mixed. Risk aversion and credit issues have kept</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest rates low and US Treasury yields have fallen significantly as investors favored &#147;safe haven&#148; assets. As the period drew to a close, Treasuries modestly</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>outperformed the spread sectors of the market (those driven by changes in credit risk.) Corporate credit spreads benefited from the low rate environment</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and high yield fixed income remains attractive due to low default rates and better-than-expected results on European bank stress tests. Meanwhile, tax-</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exempt municipal bonds slightly outperformed US investment grade bonds on a 12-month basis, but underperformed year-to-date as investors rotated to</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the relative safety of Treasuries.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Regarding cash investments, yields on money market securities remain near all-time lows (producing returns only marginally above zero percent), with</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Federal Open Market Committee reiterating that economic circumstances are likely to necessitate an accommodative interest rate stance for an</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#147;extended period.&#148;</FONT></P>
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     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Against this backdrop, the major market averages posted the following returns:</FONT>&nbsp;</TD>
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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 August 31, 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 large cap 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>(4.04)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.91%</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 small cap 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>(3.60)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.60</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>(3.04)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.34)</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>0.14</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>11.49</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.58</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>US investment grade bonds (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>5.81</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.18</FONT>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax-exempt municipal bonds (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>5.42</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.78</FONT>&nbsp;</TD></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US 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>6.62</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21.40</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Although conditions have improved over the past couple of years, investors across the globe continue to face uncertainty about the future direction of</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>economic growth. Through periods of uncertainty, as ever, BlackRock&#146;s full resources are dedicated to the management of our clients&#146; assets. For additional</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market perspective and investment insight, visit </FONT><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><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCndItal,Arial,Helvetica,sans-serif>Shareholder&#174; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>magazine, as well as its quarterly companion 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>. We thank you for entrusting BlackRock with your</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments, and we look forward to your continued partnership in the months and years ahead.</FONT></P>
<IMG border=0 src="brtax-6ar0810x3x1.jpg">
<BR>
<P style="TEXT-ALIGN: left"><FONT color=#6c6e70 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>THIS PAGE NOT PART OF YOUR FUND REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#004a91 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of August 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Overview</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust&#146;s (BHL) (the &#147;Fund&#148;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment objective is high current income, with a secondary objective of long-term</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>capital appreciation. The Fund seeks to achieve its investment objectives by investing substantially all of its assets in loan and debt instruments and loan-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>related and debt-related instruments (collectively "credit securities"). The Fund invests, under normal market conditions, at least 80% of its assets in any</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>combination of the following credit securities: (i) senior secured floating rate and fixed rate loans; (ii) second lien or other subordinated or unsecured float-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing rate and fixed rate loans or debt; (iii) credit securities that are rated below investment grade quality; and (iv) investment grade corporate bonds. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund may invest directly in such securities or synthetically through the use of derivatives.</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 objectives will be achieved.</FONT><BR>
<BR>
<B><FONT color=#004a91 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 12 months ended August 31, 2010, the Fund returned 23.33% based on market price and 14.39% 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 closed-end Lipper Loan Participation Funds category posted an average return of 31.82% based on market price and 15.79% based on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NAV. All returns reflect reinvestment of dividends. The Fund's discount to NAV, which narrowed during the period, accounts for the difference between per-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>formance based on price and performance based on NAV. The following discussion relates to performance based on NAV. We focused on higher quality loan</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>structures and borrowers with relatively stable cash flows and the ability to generate steady income. The Fund&#146;s bias towards higher quality sectors and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credits detracted from relative performance as high quality generally underperformed lower quality sectors and credits during the period except during the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit market correction in the second quarter of 2010. The Fund maintained leverage at an average amount between 15% to 16% of its total managed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets, which detracted from relative performance versus competitors that maintained higher leverage, as would be expected when markets are advancing.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund&#146;s allocation to high yield bonds benefited performance as the sector outperformed most other sectors of the fixed income market. Investments in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a few special situations and recovery stories, most notably in the automotive sector, also contributed positively to performance.</FONT></P>
<P style="TEXT-ALIGN: left"><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></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="35%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</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 August 31, 2010 ($12.86)</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>5.97%</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>$0.064</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>$0.768</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 August 31, 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></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 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 September 1, 2010. The Monthly Distribution per Share was increased to $0.066. The Yield on Closing Market Price, Current</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to fur-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ther 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 loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on page 10.</FONT></P>
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<TR>
     <TD width="58%"></TD>
     <TD width="7%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="6%"></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>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>
     <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=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</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>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=right><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=right><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=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.86</FONT>&nbsp;</TD>
     <TD align=right><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>16.59%</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13.56</FONT>&nbsp;</TD>
     <TD align=right><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=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13.55</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><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>8.14%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13.80</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.51</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-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 corporate bond investments:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="26%"></TD>
     <TD width="14%"></TD>
     <TD width="8%"></TD>
     <TD width="27%"></TD>
     <TD width="15%"></TD>
     <TD width="6%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=center><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>8/31/10</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=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>8/31/10</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>83%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>94%</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BBB/Baa</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11%</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" 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>Corporate Bonds</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB/Ba</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>44</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" align=center><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>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>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>44</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" align=center><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>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>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC/Caa</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></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using the higher of Standard &amp; Poor&#146;s Corporation (&#147;S&amp;P&#146;s&#148;) or Moody&#146;s Investors</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Service, Inc. (&#147;Moody&#146;s&#148;) ratings.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#004a91 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of August 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc.</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Overview</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc.&#146;s (DVF) (the &#147;Fund&#148;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment objective is to provide shareholders with high current income. The Fund</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>seeks to achieve its investment objective by investing primarily in floating rate debt securities and instruments, including floating rate loans, bonds, certain</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>preferred securities (including certain convertible preferred securities), notes or other debt securities or instruments which pay a floating or variable rate of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest until maturity. The Fund considers floating rate debt securities to include fixed rate debt securities held by the Fund where the Fund has entered into</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>certain derivative transactions at either the portfolio level or with respect to an individual security held by the Fund, including interest rate swap agreements,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in an attempt to convert the fixed rate payments it receives with respect to such securities into floating rate payments. The Fund may invest, under normal</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market conditions, a substantial portion of its assets in below investment grade quality securities. The Fund may invest directly in such securities or syntheti-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cally through the use of derivatives.</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=#004a91 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 12 months ended August 31, 2010, the Fund returned 29.13% based on market price and 30.27% based on NAV. For the same period, the closed-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>end Lipper Loan Participation Funds category posted an average return of 31.82% based on market price and 15.79% based on NAV. The performance</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the Lipper category does not necessarily correlate to that of the Fund, as the Lipper group comprises both closed-end funds and unleveraged continu-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ously offered closed-end funds. All returns reflect reinvestment of dividends. The Fund moved from a premium to NAV to a discount by period-end, which</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on NAV. The Fund&#146;s exposure to high yield bonds benefited performance as the sector outperformed the broader market. Investments in special situations,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>most notably in the automotive sector, also contributed positively. The Fund&#146;s low amount of leverage detracted from relative performance versus competitors</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that maintained higher leverage, as would be expected when markets are advancing.</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></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="35%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</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 August 31, 2010 ($10.45)</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>7.87%</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 August 31, 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>18%</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 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 September 1, 2010. The Monthly Distribution per Share was decreased to $0.0635. The Yield on Closing Market Price, Current</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including assets attributable to borrowings) minus the sum of liabilities</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="58%"></TD>
     <TD width="7%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD>
     <TD width="9%"></TD>
     <TD width="6%"></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>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>
     <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=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</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>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=right><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=right><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=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.45</FONT>&nbsp;</TD>
     <TD align=right><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>18.75%</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.15</FONT>&nbsp;</TD>
     <TD align=right><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=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.47</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><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>19.79%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.89</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.74</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-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 corporate bond investments:</FONT></P>
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     <TD width="26%"></TD>
     <TD width="14%"></TD>
     <TD width="8%"></TD>
     <TD width="32%"></TD>
     <TD width="10%"></TD>
     <TD width="6%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=center><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>8/31/10</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=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>8/31/10</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>76%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49%</FONT>&nbsp;</TD>
     <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>4%</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>Corporate Bonds</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49</FONT>&nbsp;</TD>
     <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>32</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>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>
     <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>46</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 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>2</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 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>11</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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <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>3</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <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>6</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using the higher of S&amp;P&#146;s or Moody&#146;s ratings.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#004a91 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of August 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc.</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Overview</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc.&#146;s (FRA) (the &#147;Fund&#148;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment objective is to provide shareholders with high current income and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>such preservation of capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating rate debt securities and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instruments. The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in floating rate debt</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities, including floating or variable rate debt securities that pay interest at rates that adjust whenever a specified interest rate changes and/or which</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reset on predetermined dates (such as the last day of a month or calendar quarter). The Fund invests a substantial portion of its investments in floating rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>debt securities consisting of secured or unsecured senior floating rate loans that are rated below investment grade. The Fund may invest directly in such</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities or synthetically through the use of derivatives.</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=#004a91 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 12 months ended August 31, 2010, the Fund returned 27.59% based on market price and 18.91% based on NAV. For the same period, the closed-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>end Lipper Loan Participation Funds category posted an average return of 31.82% based on market price and 15.79% based on NAV. The performance of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Lipper category does not necessarily correlate to that of the Fund, as the Lipper group comprises both closed-end funds and unleveraged continuously</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>offered closed-end funds. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium by period end, which accounts</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s exposure to high yield bonds aided performance as the sector outperformed most other sectors of the fixed income market as well as the broad US</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>equity market. Investments in a few special situations and recovery stories, most notably in the automotive sector, contributed positively. We focused on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>higher quality loan structures and borrowers with relatively stable cash flows and the ability to generate steady income, which detracted from relative per-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>formance as riskier sectors and credits generally outperformed, except during the credit market correction in the second quarter of 2010. The Fund main-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tained leverage at an average amount between 17% to 18% of its total managed assets, which detracted from relative performance versus competitors that</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>maintained higher leverage, as would be expected when markets are advancing.</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></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="35%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</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 August 31, 2010 ($14.61)</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>6.32%</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>$0.077</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>$0.924</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 August 31, 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></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 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 loan outstanding as a percentage of managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) that may be outstanding,</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>minus the sum of accrued liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Risks of Leveraging on page 10.</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="58%"></TD>
     <TD width="7%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="6%"></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>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>
     <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=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</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>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=right><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=right><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=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.61</FONT>&nbsp;</TD>
     <TD align=right><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>19.17%</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16.96</FONT>&nbsp;</TD>
     <TD align=right><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=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.36</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><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>11.06%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.67</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.93</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-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 corporate bond investments:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="26%"></TD>
     <TD width="14%"></TD>
     <TD width="8%"></TD>
     <TD width="32%"></TD>
     <TD width="10%"></TD>
     <TD width="6%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=center><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>8/31/10</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=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>8/31/10</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>76%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75%</FONT>&nbsp;</TD>
     <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>12%</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>22</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24</FONT>&nbsp;</TD>
     <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>33</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>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>
     <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>50</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 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>
     <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>6</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>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <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>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT 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>4</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <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>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>2</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using the higher of S&amp;P&#146;s or Moody&#146;s ratings.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#004a91 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of August 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Overview</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust&#146;s (BLW) (the &#147;Fund&#148;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment objective is to provide current income and capital appreciation. The Fund seeks</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to achieve its investment objective by investing primarily in three distinct asset classes:</FONT></P>
<P style="TEXT-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>intermediate duration, investment grade corporate bonds, mortgage-related securities and asset-backed securities and US Government and agency securities;</FONT><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>senior, secured floating rate loans made to corporate and other business entities; and</FONT><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>US dollar-denominated securities of US and non-US issuers rated below investment grade, and to a limited extent, in non-US dollar denominated</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities of non-US issuers rated below investment grade.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund&#146;s portfolio normally has an average portfolio duration of less than five years (including the effect of anticipated leverage), although it may be</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>longer from time to time depending on market conditions. The Fund may invest directly in such securities or synthetically through the use of derivatives.</FONT><BR>
<BR>
<FONT 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=#004a91 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 12 months ended August 31, 2010, the Fund returned 26.04% based on market price and 19.00% based on NAV. For the same period, the closed-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>end Lipper High Current Yield Funds (Leveraged) category posted an average return of 34.35% based on market price and 26.92% based on NAV. All</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>returns reflect reinvestment of dividends. The Trust'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 following discussion relates to performance based on NAV. The Fund&#146;s allocation to high yield loans</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and investment-grade bonds detracted from performance as these sectors underperformed high yield bonds during the period. The Fund&#146;s focus on sectors</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that are less sensitive to the economy, the consumer and the housing market also had a negative impact. The Fund&#146;s relatively low amount of leverage</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>detracted from relative performance versus competitors that maintained higher leverage, as would be expected when markets are advancing. Conversely,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>an overweight in the automobiles sector and investments in a number of special situations and distressed credits (including automobiles) contributed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>positively to performance.</FONT><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></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="65%"></TD>
     <TD width="34%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</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>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>
<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 August 31, 2010 ($16.76)</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>6.09%</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>$0.085</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>$1.020</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 August 31, 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></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 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 September 1, 2010. The Monthly Distribution per Share was increased to $0.0875. The Yield on Closing Market Price, Current</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to fur-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ther 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 reverse repurchase agreements and the Term Asset-Backed Securities Loan Facility (&#147;TALF&#148;) loan outstanding as a percentage of total managed assets, which is the total</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets of the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="55%"></TD>
     <TD width="10%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="6%"></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>The table below summarizes the Fund&#146;s market price and net asset value 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>
     <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=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</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>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=right><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=right><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=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16.76</FONT>&nbsp;</TD>
     <TD align=right><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>18.95%</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16.94</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13.10</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=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16.79</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.95</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.31%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16.88</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.95</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-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 corporate bond and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US government securities investments:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="32%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD>
     <TD width="27%"></TD>
     <TD width="15%"></TD>
     <TD width="6%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=center><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>8/31/10</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=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>8/31/10</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>39%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45%</FONT>&nbsp;</TD>
     <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>18%</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>Corporate Bonds</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AA/Aa</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>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Government Sponsored Agency Securities</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>26</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</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>Non-Agency Mortgage-Backed Securities</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <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>8</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>Asset-Backed Securities</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>2</FONT>&nbsp;</TD>
     <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>30</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>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>
     <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>Taxable Municipal Bonds</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>
     <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>6</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>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>
     <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 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>
     <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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <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>2</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></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using the higher of S&amp;P&#146;s or Moody&#146;s ratings.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes US Government Sponsored Agency securities and US Treasury Obligations,</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which are deemed AAA/Aaa by the investment advisor.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#004a91 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of August 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund, Inc.</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Overview</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund, Inc.&#146;s (the &#147;Fund&#148;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment objective is to provide as high a level of 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 (&#147;corporate loans&#148;) primarily in the form of participation interests, as defined</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>below, in corporate loans made by banks or other financial institutions. The Fund seeks to achieve its investment objective by investing its assets in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC ("Master LLC"), a separate closed-end, non-diversified management investment company. Master LLC may invest in a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>corporate loan either by participating as a co-lender at the time the loan is originated or by buying a participation or assignment interest in the corporate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan from a co-lender or a participant (collectively, &#147;participation interests&#148;). Master LLC invests, under normal market conditions, at least 80% of its assets</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in corporate loans or participating in such loans that have floating or variable interest rates and, under normal market conditions, at least 65% of its</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets in floating rate or variable rate loans made to corporate borrowers or participating in such loans. Master LLC may invest directly in such securities</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or synthetically through the use of derivatives.</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=#004a91 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 12 months ended August 31, 2010, the Fund returned 11.20% based on NAV while the closed-end Lipper Loan Participation Funds category</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>posted an average NAV return of 15.79% for the same period. All returns reflect reinvestment of dividends. The Fund invests all of its assets in Master LLC.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC does not employ leverage and is therefore expected to underperform the Fund&#146;s Lipper category under strong market conditions as the category</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>includes many leveraged competitors. The Fund performed as expected relative to its peer group as markets generally advanced over the past 12 months.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC maintained relatively conservative positioning weighted toward higher quality credits and loan structures. This positioning had a negative impact</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on relative performance during much of the period as lower quality credit outperformed, with the exception of the credit correction during the second quar-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ter of 2010. We continue to believe this positioning is the appropriate stance in a low-growth environment. Master LLC&#146;s overweight position in the automo-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>biles sector and investments in special situations and distressed credits had a positive impact on performance, as did an underweight position in health</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>care. Master LLC frequently held cash committed for pending transactions; these cash balances did not have a significant impact on 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></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="63%"></TD>
     <TD width="36%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&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>November 3, 1989</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 August 31, 2010 ($7.59)</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>4.81%</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 style="TEXT-INDENT: 4px" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.031032</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; TEXT-INDENT: 4px" align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.365377</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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. 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>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="52%"></TD>
     <TD width="13%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD>
     <TD width="6%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><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>
     <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=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</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>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=right><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=right><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=right><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=right><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>6.01%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.74</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.16</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="16%"></TD>
     <TD width="12%"></TD>
     <TD width="11%"></TD>
     <TD width="14%"></TD>
     <TD width="12%"></TD>
     <TD width="11%"></TD>
     <TD width="12%"></TD>
     <TD width="9%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 colSpan=3 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>
     <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>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>
     <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>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Annualized</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>March 1, 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, 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>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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>March 1, 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, 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>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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expense Ratio</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>$1,029.90</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.83</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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,017.49</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.78</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.53%</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown).</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 multiplying 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 futher information on how expenses were calculated.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<A name="page_10"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#004a91 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of August 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund II, Inc.</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Overview</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund II, Inc.&#146;s (the &#147;Fund&#148;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment objective is to provide as high a level of 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 (&#147;corporate loans&#148;) primarily in the form of participation interests, as defined</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>below, in corporate loans made by banks or other financial institutions. The Fund seeks to achieve its investment objective by investing its assets in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC ("Master LLC"), a separate closed-end, non-diversified management investment company. Master LLC may invest in a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>corporate loan either by participating as a co-lender at the time the loan is originated or by buying a participation or assignment interest in the corporate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan from a co-lender or a participant (collectively, &#147;participation interests&#148;). Master LLC invests, under normal market conditions, at least 80% of its assets</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in corporate loans or participating in such loans that have floating or variable interest rates and, under normal market conditions, at least 65% of its</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets in floating rate or variable rate loans made to corporate borrowers or participating in such loans. Master LLC may invest directly in such securities</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or synthetically through the use of derivatives.</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=#004a91 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 12 months ended August 31, 2010, the Fund returned 10.97% based on NAV while the closed-end Lipper Loan Participation Funds category</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>posted an average NAV return of 15.79% for the same period. All returns reflect reinvestment of dividends. The Fund invests all of its assets in Master LLC.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC does not employ leverage and is therefore expected to underperform the Fund&#146;s Lipper category under strong market conditions as the category</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>includes many leveraged competitors. The Fund performed as expected relative to its peer group as markets generally advanced over the past 12 months.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC maintained relatively conservative positioning weighted toward higher quality credits and loan structures. This positioning had a negative impact</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on relative performance during much of the period as lower quality credit outperformed, with the exception of the credit correction during the second quar-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ter of 2010. We continue to believe this positioning is the appropriate stance in a low-growth environment. Master LLC&#146;s overweight position in the automo-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>biles sector and investments in special situations and distressed credits had a positive impact on performance, as did an underweight position in health</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>care. Master LLC frequently held cash committed for pending transactions; these cash balances did not have a significant impact on 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></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="35%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&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>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 August 31, 2010 ($8.22)</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>4.66%</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>$0.032518</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>$0.382873</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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. 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>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="52%"></TD>
     <TD width="13%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD>
     <TD width="6%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><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>
     <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=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>8/31/10</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>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=right><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=right><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=right><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=right><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>5.93%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$8.38</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7.75</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="16%"></TD>
     <TD width="12%"></TD>
     <TD width="11%"></TD>
     <TD width="14%"></TD>
     <TD width="12%"></TD>
     <TD width="11%"></TD>
     <TD width="12%"></TD>
     <TD width="9%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 colSpan=3 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>
     <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>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>
     <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>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Annualized</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>March 1, 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, 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>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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>March 1, 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, 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>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" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expense Ratio</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Senior Floating</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>$1,028.60</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.59</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$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>$1, 016.74</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.54</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.68%</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown).</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 futher information on how expenses were calculated.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9</FONT></P>
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<A name="page_11"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 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>BHL, DVF, FRA and BLW may utilize leverage to seek to enhance the yield</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and NAV. However, these objectives cannot be achieved in all interest</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate environments.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may utilize leverage by borrowing through a credit facility, partici-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pation in the TALF, or through entering into reverse repurchase agreements</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and treasury roll transactions. In general, the concept of leveraging is based</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on the premise that the financing cost of assets to be obtained from lever-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>age will be based on short-term interest rates, which normally will be lower</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>than the income earned by each Fund on its longer-term portfolio invest-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments. 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 income based</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on long-term interest rates. In this case, the borrowing costs and interest</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expense of the borrowings is significantly lower than the income earned</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on the Fund&#146;s long-term investments, and therefore the shareholders are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 style="TEXT-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 each Fund&#146;s 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, each Fund&#146;s 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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be less than if leverage had not been used, and therefore the amount</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>available for distribution to shareholders will be reduced. Each Fund</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may be required to sell portfolio securities at inopportune times or at dis-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tressed values in order to comply with regulatory requirements applicable</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the use of leverage or as required by the terms of leverage instruments,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which may cause a Fund to incur losses. The use of leverage may limit</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each Fund&#146;s ability to invest in certain types of securities or use certain</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>types of hedging strategies. Each Fund will incur expenses in connection</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with the use of leverage, all of which are borne by shareholders and may</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reduce income.</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, through participation in the TALF or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>entering into reverse repurchase agreements 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 man-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>aged assets. As of August 31, 2010, the Funds had outstanding leverage</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>from borrowings as a percentage of their total managed assets as follows:</FONT></P>
<DIV align=left>
<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>18%</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>17%</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>17%</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 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 may constitute forms of economic leverage. Such instruments are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>used to obtain exposure to a market without owning or taking physical cus-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tody of securities or to hedge market, interest rate, credit, equity and/or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>foreign currency exchange rate risks. Such derivative instruments involve</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risks, including the imperfect correlation between the value of a derivative</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instrument and the underlying asset, possible default of the counterparty</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the transaction or illiquidity of the derivative instrument. The Funds&#146;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ability to successfully use a derivative instrument depends on the invest-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment advisor&#146;s ability to accurately predict pertinent market movements,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which cannot be assured. The use of derivative instruments may result in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>losses greater than if they had not been used, may require a Fund 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 a Fund can realize on an investment,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may result in lower dividends paid to shareholders or may cause a Fund to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>hold a security that it might otherwise sell. The Funds&#146; investments in these</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instruments are discussed in detail in the Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Disclosure of Expenses for Continuously Offered Closed-End Funds</FONT></P>
<P style="TEXT-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></P>
<P style="TEXT-ALIGN: left"><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></P>
<P style="TEXT-ALIGN: left"><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 March 1, 2010 and held through</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>August 31, 2010) are intended to assist shareholders both in calculating</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expenses based on an investment in each Fund and in comparing</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>these expenses with similar costs of investing in other mutual funds.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The tables provide information about actual account values and actual</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expenses. In order to estimate the expenses a shareholder paid during</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the period covered by this report, shareholders can divide their account</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value by $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 style="TEXT-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 style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#004a91 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>August 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B><BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="11%"></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=center><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; TEXT-INDENT: 5px" 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=#004a91 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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 202,283</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Holdings/EduMedia</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54,036</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>270,181</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; 0.4%</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>472,464</FONT>&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>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=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=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>Air Canada, 9.25%, 8/01/15 (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>250</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>245,000</FONT>&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>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>285</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>299,325</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>544,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>
     <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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/06/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,664</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Icahn Enterprises LP:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT 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>372,188</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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 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 style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,131,102</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>373,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CF Industries, Inc., 6.88%, 5/01/18</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>415</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>436,788</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#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>CIT Group, Inc., 7.00%, 5/01/17</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,375</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,292,929</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>410,000</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>257,500</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>667,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#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>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>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>435,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#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>Berry Plastics Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 11/15/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>701,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.50%, 5/15/18 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220,800</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>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>42,862</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>965,412</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#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>Ally Financial, Inc., 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>850</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>884,000</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 style="TEXT-INDENT: 3px" align=left><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>786,963</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,580</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,736,543</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#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>Frontier Communications Corp., 8.25%, 4/15/17</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>290</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>306,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ITC Deltacom, Inc., 10.50%, 4/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>246,250</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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>745,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,298,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>467,500</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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; TEXT-INDENT: 5px" 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=#004a91 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=center>&nbsp;</TD>
     <TD align=center>&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>Rite Aid Corp., 8.00%, 8/15/20 (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>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>$ 178,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food 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>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>308,625</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>222,075</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>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>413,012</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>943,712</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Renal Holdings, 8.38%, 5/15/18 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc., 7.25%, 9/15/20</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>229,900</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>364,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>984,937</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#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>MGM Resorts International, 11.13%, 11/15/17</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT 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>268,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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</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>805,269</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>366,723</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><B><FONT color=#004a91 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></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><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>1,165</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,223,250</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>385,201</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 style="TEXT-INDENT: 3px" align=left><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>1,600</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,632,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>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>100,750</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>3,341,201</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#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>Clear Channel Worldwide Holdings, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.25%, 12/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>191,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 9.25%, 12/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>740</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>776,075</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>442,531</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>513,750</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>1,924,294</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#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>Coffeyville Resources LLC, 9.00%, 4/01/15 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>140</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>580</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>581,450</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>725,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>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>1,115</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>905,937</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</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>211,000</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>1,116,937</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>
     <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>Phillips-Van Heusen Corp., 7.38%, 5/15/20</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>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>458,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication 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>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>1,125</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,161,562</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nextel Communications, Inc., Series E, 6.88%, 10/31/13</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>523,687</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sprint Capital Corp., 8.38%, 3/15/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>175</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,870,312</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 Corporate Bonds &#151; 18.6%</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>22,698,384</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="34%"></TD>
     <TD width="6%"></TD>
     <TD width="22%"></TD>
     <TD width="14%"></TD>
     <TD width="22%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Abbreviations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>GO</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Obligation</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>MSCI</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Morgan Stanley Capital International</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>FKA</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Formerly Known As</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>to the following list:</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>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>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 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_14"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B><BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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; TEXT-INDENT: 5px" 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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#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>DynCorp International, Term Loan, 6.25%, 7/07/16</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>700</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 694,575</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Linked Deposit, 0.43%, 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>37</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,768</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.26% &#150; 2.53%, 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>627</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>499,209</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 style="TEXT-INDENT: 3px" align=left><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>162</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>161,635</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>628</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>629,167</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,014,354</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 10/09/16</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>719,756</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,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.04%, 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>2,334</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,151,042</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, 4.52% &#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 style="TEXT-INDENT: 1px" align=left><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>390</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>382,609</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Exide Global Holdings Netherlands C.V., European</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrower, Term Loan, 3.94%, 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>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>171,032</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>3,424,439</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Automobiles &#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>Ford Motor Co.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 3.03%, 12/15/13</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>1,578</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,517,979</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 3.03%, 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>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>22,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,540,699</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#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>Building Materials Corp. of America, Term Loan Advance,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.06%, 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>257</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>251,638</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>1,223</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,227,465</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 2.88% 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>797</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>925,809</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>2,404,912</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 (First Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.48 &#150; 3.53%%, 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>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>550,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 6.4%</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>CF Industries, Inc., Term Loan B-1, 4.50%, 4/05/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>462</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>464,616</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chemtura Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Debtor in Possession Term Facility,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 2/11/11</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>847,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Exit Term Loan, 5.50%, 8/16/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>753,125</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 style="TEXT-INDENT: 1px" align=left><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>453</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>452,596</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, 2.02%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>233</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220,381</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lyondell Chemical Co., Exit Term Loan, 5.50%, 4/08/16</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>256,771</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MacDermid, Inc., Tranche B Term Loan, 2.27%, 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>484</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>445,157</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>1,213</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,216,792</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.), Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 3.52% &#150; 3.73%, 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>1,202</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,099,350</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 style="TEXT-INDENT: 1px" align=left><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>586</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>586,003</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia, Inc., Term Loan, 4.75%, 3/17/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>702</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>701,864</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:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 11.25%, 9/20/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>631</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>635,712</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 11.25%, 9/20/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>169</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>170,788</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>7,851,030</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#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>CIT Group, Inc., Tranche 3 Term Loan, 6.25%, 8/11/15</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>1,180</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,176,153</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 6.4%</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>ARAMARK Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit-1 Facility, 0.11%, 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>19</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,694</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit-2 Facility, 0.11%, 7/26/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,737</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan, 2.41%, 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>259</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>244,672</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan B, 3.78%, 7/26/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>466</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>452,166</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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; TEXT-INDENT: 5px" 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=#004a91 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>AWAS Finance Luxembourg Sarl, 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/10/16</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>425</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 427,479</FONT>&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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.02%, 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>326</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>313,064</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advanced Disposal Services, Inc., Term Loan B, 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>398</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>398,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Altegrity, Inc., Incremental Term Loan, 7.75%, 2/21/15</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>747,188</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 Loan B, 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 style="TEXT-INDENT: 1px" align=left><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>558</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>561,222</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16</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>477,573</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Diversey, Inc. (FKA Johnson Diversey, 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="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar Term Loan, 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>498</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>496,256</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International Lease Finance Corp., Term Loan 1,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 3/17/15</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>957,521</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Protection One, Inc., Term Loan, 6.00%, 6/04/16</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>741,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Quad Graphics, Term Loan, 5.50%, 4/20/16</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>262,350</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.27% &#150; 2.28%, 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>977</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>825,844</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 Loan B-3, 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 style="TEXT-INDENT: 1px" align=left><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>913</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>909,838</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>7,862,167</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sorenson Communications, Tranche C Term Loan, 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/16/13</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>119</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>106,480</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#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>Aquilex Holdings LLC, Term Loan, 5.50%, 4/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>99,334</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safway Services, LLC, First Out Tranche 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/18/17</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>750,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>849,334</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#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>Fairmount Minerals Ltd., Term Loan B, 6.25%, 8/05/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>425,177</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#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>AGFS Funding Co., Term Loan, 7.25%, 4/21/15</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>1,729,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Daimler Chrysler 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="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (Second Lien), 6.78%, 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>1,524</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,518,963</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>3,248,182</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#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>Anchor Glass Container Corp., Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 3/02/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>358</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>354,674</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BWAY Holdings, Co., Term Loan B, 5.50% &#150; 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="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/16/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>169</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>168,932</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 Loan C, 2.38%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><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>520</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>473,835</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ICL Industrial Containers ULC/ICL Contenants Industriels</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ULC (FKA BWAY) Term Loan C, 5.50% &#150; 6.00%, 6/16/17</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>15,847</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,013,288</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#151; 3.4%</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>Coinmach Laundry Corp., Delayed Draw Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.29% &#150; 3.35%, 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>247</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>212,306</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Service Corp., Term Loan, 3.35%, 11/14/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,217</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,060,902</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Laureate Education, Series A New Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>1,985</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,951,751</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ServiceMaster Co.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Term Loan, 2.77% &#150; 3.04%, 7/24/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>873</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>802,448</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.77%, 7/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>79,912</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>4,107,319</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>MSCI, Inc., Term Loan, 4.75%, 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>798</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800,328</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/05/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,589</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,581,031</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Whitelabel IV SA:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B2, 5.00%, 8/11/17</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>249</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>312,808</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B1, 5.00%, 8/11/17</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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>189,023</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,883,190</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>13</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_15"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B><BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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; TEXT-INDENT: 5px" 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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#151; 3.6%</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>Cincinnati Bell Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 6/11/17</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>673</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 668,263</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.75%, 5/30/14 (d)</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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>361,183</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, 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/15/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>825</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>822,937</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,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.53% &#150; 2.78%, 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>1,400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,254,093</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.89%, 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>1,264,677</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>4,371,153</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#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>New Development Holdings LLC, 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 style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/03/17</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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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>1,262,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Baldor Electric Co., Term Loan, 5.25% &#150; 5.50%, 1/31/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>505,968</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments</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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&amp; Components &#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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CDW LLC (FKA CDW Corp.), Term Loan, 4.28%, 10/10/14</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>570,887</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Group SAS (FKA Matinvest 2 SAS)/Butterfly</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wendel US, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B-2, 3.91%, 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>319</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>271,533</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C-2, 4.16%, 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>268</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>228,042</FONT>&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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Loan A, 2.53% &#150; 2.56%, 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>103</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>96,528</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Loan B, 2.56%, 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>562</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>541,190</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., Tranche B-1</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 6.75%, 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>616</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>612,506</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Styron Sarl, Term Loan, 7.50%, 6/17/16</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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>831,443</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>3,152,129</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><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>696</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>694,509</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#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>AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.55%, 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>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>713,338</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 (First Lien), 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/16</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>499</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>496,002</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, 7.00%, 3/03/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>488</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486,078</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 LLC, Initial Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 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>863</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>863,794</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., Term Loan B, 6.00%, 7/09/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>212,520</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,771,732</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#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>CII Investment, LLC (FKA Cloverhill):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A, 8.50%, 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>482</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>481,836</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 8.50%, 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>586</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>586,021</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. 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00% &#150; 5.50%, 3/02/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>284</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>284,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michael Foods Group, Inc. (FKA M-Foods Holdings, Inc.),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 6.25%, 6/29/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500,357</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, 5.58%, 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>550</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>544,500</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 D Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 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>709</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>709,886</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-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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00% &#150; 5.50, 3/02/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>705,371</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>3,812,096</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Biomet, Inc., Dollar Term Loan, 3.26% &#150; 3.54%, 3/25/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>407</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>393,293</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC (FKA ReAble Therapeutics Finance LLC),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.26%, 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>729</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>691,199</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-1 Dollar Term Loan, 4.50%, 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>418</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>418,318</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-2 Term Loan, 4.50%, 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>227</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>227,759</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,730,569</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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; TEXT-INDENT: 5px" 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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 6.2%</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>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.55%, 7/25/14</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>86</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 80,719</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan Facility, 2.55%, 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>1,680</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,583,641</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, 1.77% &#150; 2.04%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>196,916</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gentiva Health Services, Inc., Term Loan B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 8/12/16</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>592,125</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A-1 Term Loan, 2.03%, 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>1,655</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,592,364</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 2.78%, 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>70</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>67,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harden Healthcare LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Add-on Term Loan, 7.75%, 3/02/15</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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>588,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 8.50%, 2/22/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>396</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>388,436</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>inVentiv Health, Inc. (FKA Ventive Health, Inc.),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 6.50%, 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>1,200</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,197,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Renal Advantage 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 6/03/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525,000</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 Holding Co. II, LLC (Vanguard Health</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Systems, Inc.), Initial Term Loan, 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>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>803,229</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>7,615,555</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Health, Inc., Tranche B Dollar Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 2/26/16</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>957</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>959,107</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Priority Term Loan, 4.75%, 7/18/11</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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>720,000</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 3.50% &#150; 3.53%, 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>1,002</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>855,793</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-4, 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>746</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>761,590</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, 2.01% &#150;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.24%, 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>566</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>552,251</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>1,120</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,120,737</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., Tranche B Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 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>822</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>812,894</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.76%, 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>220</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>208,734</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit Loan, 3.03%, 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>21</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,590</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Dollar Term Loan, 2.76%, 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>114</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>107,887</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 Partners, Ltd., Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 11/16/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>496</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>497,003</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 (FKA Venetian Macau):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Delayed Draw Project Loan, 5.04%, 5/25/12</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>414</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>407,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Funded Project Loan, 5.04%, 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>709,996</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,773,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#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>Ceridian Corp., US Term Loan, 3.26%, 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>746</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>663,493</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16</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>439,875</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan, 3.01%, 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>168</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143,516</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.01%, 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>501</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>426,755</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.01%, 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>1,451</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,237,338</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 style="TEXT-INDENT: 1px" align=left><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>1,037</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,035,523</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransUnion LLC, Term Loan, 6.75%, 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>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>1,261,329</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>5,207,829</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 1.1%</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>Dynegy Holdings, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Letter of Credit Facility, 4.02%, 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>204</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200,689</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 4.02%, 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>16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,073</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.79% &#150; 4.03%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>1,454</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,096,171</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,312,933</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp., Term Loan, 3.79%, 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>2,339</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,151,724</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>14 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 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><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B><BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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; TEXT-INDENT: 5px" 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=#004a91 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, 3.53%, 8/21/14</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>716</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 680,253</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>191</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>191,058</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#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>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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan (First Lien), 3.52%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/11/14</FONT>&nbsp;</TD>
     <TD align=left>&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>233,088</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial U.S. Term Loan (First Lien), 3.52%, 7/11/14</FONT>&nbsp;</TD>
     <TD align=left>&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>604,871</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 Loan B, 6.44% &#150; 6.54%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>419</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>421,618</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,259,577</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Horizon Lines, LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolving Loan, 3.52% &#150; 3.55%, 8/08/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>166,986</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.79%, 8/08/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>134,762</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>301,748</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 17.2%</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>Cengage Learning Acquisitions, Inc. (Thomson Learning),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><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>1,881</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,874,539</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, New Term Loan, 2.30%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>511,065</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:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Term Loan, 7.25%, 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>341</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>322,724</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B1, 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>449</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>458,778</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 3.79%, 9/06/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,569</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,456,904</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clarke American Corp., Term Loan B, 2.76%, 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>619</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>533,832</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>652</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>626,686</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., Tranche A Term Loan, 5.79%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/12/14 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>876</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>797,990</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, Term Loan, 2.56% &#150; 2.63%, 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>737</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>318,931</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-A Term Loan, 3.03%, 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>237</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>223,669</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-B Term Loan, 3.03%, 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>237</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>223,601</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-C Term Loan, 3.03%, 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>237</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>223,601</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interactive Data Corp., Term Loan, 6.75%, 1/29/17</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>704,083</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.52%, 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>510</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>488,690</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C1, 3.77%, 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>510</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>488,690</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, 2.27%, 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>224</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>199,037</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 Communications,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D Term Loan, 5.50%, 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>200</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195,935</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche E Loan, 4.50%, 10/23/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,075</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,014,513</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 style="TEXT-INDENT: 3px" align=left><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>800</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>849,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Term Loan, 6.78%, 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>502,500</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A Dollar Term Loan, 2.29%, 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>26</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,805</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B Dollar Term Loan, 4.04%, 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>1,153</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,114,223</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class C Dollar Term Loan, 4.04%, 5/28/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>419</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>401,631</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Regal Cinemas Corp., Term Loan, 4.03%, 11/19/16</FONT>&nbsp;</TD>
     <TD align=left>&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>344,761</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., New Tranche 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 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>409</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>409,432</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 style="TEXT-INDENT: 1px" align=left><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>1,378,874</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 5.68%, 6/01/12</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>598</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>557,456</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TWCC Holdings Corp., Replacement Term Loans,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 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>1,027</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,025,658</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, 4.64%, 12/31/17 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>941,079</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., Facility B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.77%, 12/31/15</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>750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,115,016</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/Yell Finance (UK) Ltd., Facility A3, 2.60%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/09/11</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>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>678,516</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>21,006,219</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE style="WIDTH: 516px; HEIGHT: 1475px" 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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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; TEXT-INDENT: 5px" 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=#004a91 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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 0.41%, 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>4</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,705</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Advance (First Lien), 3.06%, 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>238</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220,396</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>224,101</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#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>Dollar General Corp., Tranche B-2 Term Loan, 3.01%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>526</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>505,901</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, 5.65%, 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>2,109,972</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, 2.30%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>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>496,386</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>3,112,259</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#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>Big West Oil, LLC, Term Loan, 12.00%, 7/23/15</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>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>328,927</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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, 2.30% &#150; 2.53%,</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; TEXT-INDENT: 1px" align=left><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>752</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>741,240</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Personal Products &#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>American Safety Razor Co., LLC, Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 7/31/13</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>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>39,646</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#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>Warner Chilcott Co., LLC, Term Loan A, 6.00%, 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>459</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>458,018</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.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Additional Term Loan, 6.25%, 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>198</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>197,657</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 6.25%, 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>197</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>196,363</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 6.25%, 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>326</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325,290</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 6.50%, 2/20/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>68</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>68,182</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-4, 6.50%, 2/20/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,123</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,267,633</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 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>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><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=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>983</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>983,728</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#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>Realogy Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan B, 3.30% &#150; 3.53%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>1,045</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>901,372</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan B, 3.30%, 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>588</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>507,692</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 0.11%, 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>101</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87,031</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility (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>527,500</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>2,023,595</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#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>Freescale Semiconductor, Inc., Extended Maturity</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; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.56%, 12/01/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT 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>268,266</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#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>Telcordia Technologies, Inc., 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/30/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>599</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>598,001</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vertafore, Inc., Term Loan B, 6.75%, 7/28/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>305</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>303,094</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>901,095</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#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>Bass Pro Group LLC, Term Loan, 5.00% &#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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/10/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>194,449</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Burlington Coat Factory Warehouse Corp., Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.54% &#150; 2.66%, 5/28/13</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>179,978</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, 2.52% &#150;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.79%, 9/16/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>184,706</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matalan, Term Loan, 5.57%, 3/24/16</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>300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>455,724</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 2.63% &#150; 2.81%, 10/31/13</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>511</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>482,103</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 4.88% &#150; 5.06%, 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>249</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240,565</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Toys &#145;R&#146; US, Inc., Term Loan B, 6.00%, 8/17/16</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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>797,995</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,535,520</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>15</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_17"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B><BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="17%"></TD>
     <TD width="18%"></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>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#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>Hanesbrands, Inc., New Term Loan, 5.25%, 12/10/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 461</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 463,863</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Phillips Van Heusen Corp., US Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 5/06/16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>790</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>794,537</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,258,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 3.3%</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>Cavtel Holdings, LLC, Term Loan, 10.50%, 12/31/12 (d)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>212</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200,469</FONT>&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., US Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Non-Rollover), 3.06%, 3/30/12</FONT>&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>1,892,350</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.:</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>Tranche B-1 Term Loan, 2.56%, 11/03/13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>106</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>102,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 3.81%, 11/03/16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,153</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,131,072</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vodafone Americas Finance 2 Inc., Initial Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 7/30/15</FONT>&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>750,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,076,741</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; 100.8%</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>122,978,259</FONT>&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>Beneficial</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>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 (e)</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=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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></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 style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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;(f)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,247,163</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>Total Other Interests &#151; 1.0%</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>1,247,163</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; $146,852,174) &#151; 120.8%</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>147,396,270</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=center><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; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class, 0.25% (g)(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>1,172,197</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,172,197</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; $1,172,197) &#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>1,172,197</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; $148,024,371*) &#151; 121.7%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>148,568,467</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; (21.7%)</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>(26,506,852)</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>$122,061,615</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The cost and unrealized appreciation (depreciation) of investments as of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>August 31, 2010, as computed for federal income tax purposes, were as follows:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="57%"></TD>
     <TD width="42%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$148,023,821</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,598,216</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,053,570)</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</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 544,646</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a) Non-income producing security.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) Variable rate security. Rate shown is as of report date.</FONT><BR>
<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><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tional face/shares.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Other interests represent beneficial interest in liquidation trusts and other reorgani-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>zation entities and are non-income producing.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Amount is less than $1,000.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Investments in companies considered to be an affiliate of the Trust, for purposes</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as follows:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="3%"></TD>
     <TD width="7%"></TD>
     <TD width="14%"></TD>
     <TD width="5%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD>
     <TD width="19%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 1px" colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</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>Shares Held at</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" colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31, 2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Activity&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; August 31, 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>Income</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>BlackRock Liquidity</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" colSpan=3 align=left><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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &#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>1,172,197</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,172,197</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$4,642</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) 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 August 31, 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=center><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=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 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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Appreciation&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</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; TEXT-INDENT: 1px" 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=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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Depreciation)</FONT></B>&nbsp;&nbsp;&nbsp;&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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>59,000</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>74,697</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 4px" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/15/10&nbsp;</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 69</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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,974,576</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>6,309,000</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 4px" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/15/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(20,335)</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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185,370</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>140,000</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 4px" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/15/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,959</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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,193,452</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>1,423,000</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Royal Bank</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&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=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Scotland</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/20/10</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,829</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>$ (478)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-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>For Fund compliance purposes, the Fund&#146;s industry classifications refer to any one</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or rating group indexes, and/or as defined by Fund management.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>This definition may not apply for purposes of this report, which may combine such</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>industry sub-classifications for reporting ease.</FONT><BR>
<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>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 and derivatives, 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 in active 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 or</FONT><BR>
<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><BR>
<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><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>curves, volatilities, prepayment speeds, loss severities, credit risks and default</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>Fund&#146;s own assumptions used in determining the fair value of investments and</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>derivatives)</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 indica-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion of the risk associated with investing in those securities. For information about the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s policy regarding valuation of investments and derivatives and other significant</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accounting policies, please refer to Note 1 of the Notes to Financial Statements.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of August 31, 2010 in determin-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing the fair valuation of the Fund&#146;s investments and derivatives:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="21%"></TD>
     <TD width="19%"></TD>
     <TD width="20%"></TD>
     <TD width="18%"></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>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=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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments in</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities:</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>Long-Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT 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></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>$ 202,283</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>$ 270,181</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 472,464</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>$ 22,685,720</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,664</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,698,384</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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><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>102,541,176</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,437,083</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>122,978,259</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>1,247,163</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>1,247,163</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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><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>1,172,197</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>1,172,197</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitments</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>3,688</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>&#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>(50,431)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(50,431)</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>$ 1,374,480</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$126,474,059</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$20,673,185</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$148,521,724</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>16 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_18"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B></P>
<DIV align=left>
<TABLE style="WIDTH: 408px; HEIGHT: 332px" border=0 cellSpacing=0>
<TR>
     <TD width="24%"></TD>
     <TD width="22%"></TD>
     <TD width="17%"></TD>
     <TD width="12%"></TD>
     <TD width="8%"></TD>
     <TD width="14%"></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>Derivative 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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</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 style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</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 style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 6px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;&nbsp;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19,857</FONT>&nbsp;</TD>
     <TD align=right>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT></TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19,857</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</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 style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</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 style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 6px" 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>(20,335)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif></FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(20,335)</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; TEXT-INDENT: 6px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;&nbsp;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (478)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT></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>$ (478)</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivative financial instruments are foreign currency exchange contracts. Foreign</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts are valued at the unrealized appreciation/depreci-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ation on the instrument.</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="42%"></TD>
     <TD width="20%"></TD>
     <TD width="8%"></TD>
     <TD width="9%"></TD>
     <TD width="10%"></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 in determining 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 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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT></B>&nbsp;</TD>
     <TD align=right>&nbsp;</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>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" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitments</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets/Liabilities:</FONT></B>&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 style="TEXT-INDENT: 2px" 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>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$24,495,356</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 60,517</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$24,555,873</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" 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>245,232</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>245,232</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <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>390,156</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>390,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,302,917</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(107,260)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,195,657</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <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>6,258,629</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>6,258,629</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <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>(19,925,222)</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>( 19,925,222)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 270,181</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12,664</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,292,781</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>12,575,626</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>&#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>(6,622,766)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#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>(6,622,766)</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 August 31, 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>$ 270,181</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12,664</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$20,437,083</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (46,743)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$20,673,185</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 Statements of Operations. The change in unrealized appreciation/depreciation on securities</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>still held at August 31, 2010 was $579,777.</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 Fund&#146;s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>17</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#004a91 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>August 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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; TEXT-INDENT: 5px" 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>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; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2005-8A, Class D, 15.04%, 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>$ 338,985</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; 0.2%</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>338,985</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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building 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 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>6,589</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250,382</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#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>E*Trade Financial Corp.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>177,463</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>81</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#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>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>65,155</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>5,460</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>2,890</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#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>Euramax International</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>468</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>154,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>286,978</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>672,804</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. (a)</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>820,045</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,492,849</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#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>HMH Holdings/EduMedia</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,104</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>230,519</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>17,975</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>141,284</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>371,803</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; 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=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,520,358</FONT>&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>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=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=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>285</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>299,325</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>297</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>331,557</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>630,882</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 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="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/06/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,664</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Icahn Enterprises LP, 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>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>104,213</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>116,877</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 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 (a)</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>398,000</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., 7.50%, 7/01/12 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,415,625</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>412,000</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>3,225,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>E*Trade Financial Corp., 3.95%, 8/31/19 (a)(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>99,600</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 (a)</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>240,130</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 (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>180</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,162</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 Superholdco, LLC, 14.50%, 1/15/18 (a)(f)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>17,686</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>373,578</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>CF Industries, Inc., 6.88%, 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>445</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>468,362</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., Subordinate Note (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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Second Lien), 10.00%, 1/29/19 (a)</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>777,780</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Third Lien), 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>294</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>114,483</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,360,625</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="7%"></TD>
     <TD width="9%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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; TEXT-INDENT: 5px" 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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#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>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>705</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 662,920</FONT>&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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.15%, 4/20/10 (a)</FONT>&nbsp;</TD>
     <TD align=left>&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>18,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.38%, 9/25/12 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>365</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>104,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series EMTN, 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>35,483</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series EMTN, 3.00%, 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>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>42,580</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>863,533</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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><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>410,000</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 (a)</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>257,500</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>667,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>672,899</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#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>Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT 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>461,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#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>Berry Plastics Corp., 9.50%, 5/15/18 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>260</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>239,200</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>45</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,862</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 (a):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT 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>250</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>323,149</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>311,744</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>916,955</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial 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>Ally Financial Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 9/15/11</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>150</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>152,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.30%, 2/12/15 (a)</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>124,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 9/15/20 (a)</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>366,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>90</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>90,112</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>524,642</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GMAC, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>139,049</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 12/31/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 3/15/20 (a)</FONT>&nbsp;</TD>
     <TD align=left>&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>30,750</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 (a)</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>403,000</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 (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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>257,249</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,108,952</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Frontier Communications Corp., 8.25%, 4/15/17</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>290</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>306,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ITC Deltacom, Inc., 10.50%, 4/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295,500</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>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>582,500</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>1,184,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 (a)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT 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>701,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>Rite Aid Corp., 8.00%, 8/15/20 (a)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT 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>129,187</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food 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 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>308,625</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 (a)</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>232,650</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 (a)</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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>357,200</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>898,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; 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>HCA, Inc., 7.25%, 9/15/20</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>235</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>245,575</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#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>IMS Health, Inc., 12.50%, 3/01/18 (a)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT 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>463,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/15/14 (a)(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>270,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MGM Resorts International, 11.13%, 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>390</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>435,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Travelport LLC, 5.16%, 9/01/14 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>810</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>751,275</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/14 (a)(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>88</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,457,188</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>18 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_20"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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; TEXT-INDENT: 5px" 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=#004a91 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</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>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>$ 563,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT 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>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>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>287,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 (a)</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>787,500</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 (a)</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>385,201</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 style="TEXT-INDENT: 3px" align=left><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>380</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>387,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>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>55,413</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>1,615,714</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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., 13.50%, 12/01/15 (a)(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>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>750,432</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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., 4.25%, 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>415,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 (a)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>337,037</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#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>ESCO Corp., 4.41%, 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>837,200</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>478,400</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>1,315,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#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>Affinion Group, Inc., 10.13%, 10/15/13 (h)</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>563,750</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</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>196,650</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., Series B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.25%, 12/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>774</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>811,733</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>390,469</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 (a)</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>91</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>107,247</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 (a)</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>214,875</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 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,027,500</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>3,312,224</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#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>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 style="TEXT-INDENT: 3px" align=left><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>740</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>190</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>14,943</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ryerson, Inc., 7.84%, 11/01/14 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>997,062</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,012,935</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#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>Dollar General Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.63%, 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>200</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>219,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.88%, 7/15/17 (f)</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>247,250</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>466,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#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>Coffeyville Resources LLC, 9.00%, 4/01/15 (a)</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>154,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>OPTI Canada, Inc., 9.00%, 12/15/12 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>625</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>626,562</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>780,687</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest 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>Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (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>703</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600,990</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</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>213,750</FONT>&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>250</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>203,125</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.50%, 7/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>160</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>168,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 4.22%, 8/01/14 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>170</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>139,400</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>1,326,065</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Angiotech Pharmaceuticals, Inc., 4.29%, 12/01/13 (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>305</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>246,287</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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., 8.59%, 2/15/12 (a)(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>511</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,211</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#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>Phillips-Van Heusen Corp., 7.38%, 5/15/20</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>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>288,400</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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; TEXT-INDENT: 5px" 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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#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>Cricket Communications, Inc., 7.75%, 5/15/16</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>850</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 877,625</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. (a):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT 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>279</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280,395</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 9/01/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>103,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iPCS, Inc., 2.59%, 5/01/13 (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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>187,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nextel Communications, Inc., Series E, 6.88%, 10/31/13</FONT>&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>374,062</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 (a)</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>308,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sprint Capital Corp., 8.38%, 3/15/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>175</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,316,770</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; 24.4%</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>31,523,288</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 (b)</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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#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>DynCorp International, Term Loan, 6.25%, 7/07/16</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>595,350</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Linked Deposit, 0.43%, 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>45</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35,806</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.26% &#150; 2.53%, 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>754</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600,461</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 style="TEXT-INDENT: 3px" align=left><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>323</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>323,269</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>657</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>658,342</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,213,228</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#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>Affinion Group Holdings, Inc., Term Loan, 8.51%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>901</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>865,298</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group, Inc., Tranche B Term Loan, 5.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/09/16</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>719,756</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, 3.04%, 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>2,450</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,257,212</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, 4.52% &#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 style="TEXT-INDENT: 1px" align=left><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>319</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>313,174</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Exide Global Holdings Netherlands C.V., European</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrower Term Loan, 3.94%, 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>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>171,032</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>4,326,472</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Automobiles &#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>Ford Motor Co.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 3.03%, 12/15/13</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>1,600</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,538,633</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 3.03%, 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>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>22,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,561,353</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#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>Building Materials Corp. of America, Term Loan Advance,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.06%, 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>394</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>386,594</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>1,310</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,314,784</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 2.88%, 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>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>371,727</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,073,105</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>Nuveen Investments, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.48% &#150; 3.53%, 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>475</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>419,336</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#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>CF Industries, Inc., Term Loan B-1, 4.50%, 4/05/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>488,651</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chemtura Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Debtor in Possession Term Facility, 6.00%, 2/11/11</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>798,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Exit Term Loan, 0.0%, 8/16/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>702,917</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,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 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>362</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>362,077</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,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.02%, 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>239</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>226,381</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lyondell Chemical Co., Exit Term Loan, 5.50%, 4/08/16</FONT>&nbsp;</TD>
     <TD align=left>&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>246,701</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MacDermid, Inc., Tranche C Term Loan, 2.27%, 4/12/14</FONT>&nbsp;</TD>
     <TD align=center><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>237</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>273,841</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>619</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>620,812</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>19</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_21"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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 (b)</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>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" 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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals (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>PQ Corp. (FKA Niagara Acquisition, Inc.), Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 3.52% &#150; 3.73%, 7/30/14</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>988</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 903,835</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,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 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>607</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>606,932</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia, Inc., Term Loan, 4.75%, 3/17/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>608</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>607,113</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:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 11.25%, 9/20/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>631</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>635,712</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 11.25%, 9/20/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>169</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>170,788</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>6,643,760</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#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 style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., Tranche 3 Term Loan, 6.25%, 8/11/15</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,525</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,520,029</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 5.8%</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit-1 Facility, 0.11%, 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>14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,073</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit-2 Facility, 0.11%, 7/26/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,890</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan, 2.41%, 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>191</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180,771</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan B, 3.78%, 7/26/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>328</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>317,648</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AWAS Finance Luxembourg Sarl, 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/10/16</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>678,937</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advanced Disposal Services, Inc., Term Loan B, 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>498</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>497,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Altegrity, Inc., Incremental Term Loan, 7.75%, 2/21/15</FONT>&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>846,812</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 Loan B, 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 style="TEXT-INDENT: 1px" align=left><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>396</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>397,980</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16</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>552,979</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Diversey, Inc. (FKA Johnson Diversey, 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="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar Term Loan, 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>423</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>421,818</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International Lease Finance Corp., Term Loan 1,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 3/17/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,025</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,033,115</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Protection One, Inc., Term Loan, 6.00%, 6/04/16</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>741,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Quad Graphics, Term Loan, 5.50%, 4/20/16</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>286,200</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.27% &#150; 2.28%, 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>718</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>606,374</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 Loan B-3, 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 style="TEXT-INDENT: 1px" align=left><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>911</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>907,957</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>7,503,617</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sorenson Communications, Tranche C Term Loan, 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/16/13</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>124</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110,911</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#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>Aquilex Holdings LLC, Term Loan, 5.50%, 4/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>99,334</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safway Services, LLC, First Out Tranche 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/18/17</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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>899,334</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#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>Fairmount Minerals Ltd., Term Loan B, 6.25%, 8/05/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>425,177</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#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>AGFS Funding Co., Term Loan, 7.25%, 4/21/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,976,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Daimler Chrysler Financial Services Americas LLC, Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 6.78%, 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>1,504</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,499,035</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>3,475,285</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#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>Anchor Glass Container Corp., Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 3/02/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>322</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>318,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BWAY Holding Co., Term Loan B, 5.50% &#150; 6.00%, 6/16/17</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>150,669</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 Loan C, 2.38%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><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>411</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>374,257</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ICL Industrial Containers ULC/ICL Contenants Industriels</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ULC (FKA BWAY) Term Loan C, 5.50% &#150; 6.00%, 6/16/17</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,134</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>857,910</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer 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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Service Corp., Term Loan, 3.35%, 11/14/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,461</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,273,954</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Laureate Education, Series A New 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>2,135</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,099,111</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE style="WIDTH: 428px; HEIGHT: 1614px" 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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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 (b)</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>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" 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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ServiceMaster Co.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Loan, 2.77% &#150; 3.04%, 7/24/14</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>914</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 840,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.77%, 7/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>83,658</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>4,296,786</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial 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>MSCI, Inc., Term Loan, 4.75%, 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>998</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000,410</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.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Incremental US Term Loan, 6.25%, 5/05/16</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>397,167</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan, 6.25%, 5/05/16</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>593,120</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Whitelabel IV SA:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B1, 0.0%, 8/11/17</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>160</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200,837</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B2, 0.0%, 8/11/17</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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>332,358</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>2,523,892</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#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>Cincinnati Bell Inc., Tranche B Term Loan, 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/11/17</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>698</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>693,013</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.75%, 5/30/14 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,548</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,083,548</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, 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/15/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>825</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>822,938</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,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.53% &#150; 2.78%, 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>1,450</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,298,882</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:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan Facility B2, 4.66%, 5/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>149</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>144,587</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan Facility C2, 3.66%, 5/24/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>149</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>144,587</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>4,187,555</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#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>New Development Holdings LLC, 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 style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/03/17</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>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>1,515,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electrical Equipment &#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" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Baldor Electric Co., Term Loan, 5.25% &#150; 5.50%, 1/31/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>668</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>668,286</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp; Components &#151; 1.5%</FONT></B>&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>CDW LLC (FKA CDW Corp.), Term Loan, 4.28%, 10/10/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>598</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>535,100</FONT>&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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Term Loan B, 2.56%, 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>518</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>498,691</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan A-2, 2.51%, 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>21</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,419</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan A-3, 2.56%, 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>24</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,656</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Styron Sarl, Term Loan, 7.50%, 6/17/16</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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>806,248</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,882,114</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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; TEXT-INDENT: 1px" align=left><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>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>542,837</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#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>AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.55%, 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>750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,070,007</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 (First Lien), 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/16</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>549</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>545,602</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, 7.00%, 3/03/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>512</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>510,382</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 LLC, Initial Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 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>1,294</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,295,691</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., Term Loan B, 6.00%, 7/09/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>222,180</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,643,862</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#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>CII Investment, LLC (FKA Cloverhill):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A, 8.50%, 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>408</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>407,707</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 8.50%, 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>496</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495,864</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., 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00% &#150; 5.50%, 3/02/17</FONT>&nbsp;</TD>
     <TD align=left>&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>307,069</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michael Foods Group, Inc. (FKA M-Foods Holdings, Inc.)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 6.25%, 6/29/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500,357</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, 5.53%, 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>630</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>623,700</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 D Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 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>774</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>774,467</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-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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00% &#150; 5.50%, 3/02/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>756</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>757,361</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>3,866,525</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>20 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 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><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="55%"></TD>
     <TD width="15%"></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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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 (b)</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>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" 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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#151; 0.9%</FONT></B>&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, 3.26% &#150; 3.54%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>329</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 317,823</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC (FKA ReAble Therapeutics Finance LLC),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.26%, 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>469</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>445,076</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 style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-1 Dollar Term Loan, 4.50%, 9/10/14</FONT>&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>285,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-2 Term Loan, 4.50%, 9/10/14</FONT>&nbsp;</TD>
     <TD 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>151,269</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,199,888</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 5.7%</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>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.55%, 7/25/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>80</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75,355</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan Facility, 2.55%, 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>1,555</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,465,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaVita, Inc., Tranche B-1 Term Loan, 1.77% &#150; 2.04%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>295,373</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gentiva Health Services, Inc., Term Loan B, 6.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/12/16</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>493,438</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 style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A-1 Term Loan, 2.03%, 11/16/12</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,307</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,257,429</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 2.78%, 11/18/13</FONT>&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>165,190</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 3.78%, 3/31/17</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>224,309</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harden Healthcare LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Add-on Term Loan, 7.75%, 3/02/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>635</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>622,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 8.50%, 2/22/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>396</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>388,436</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>inVentiv Health, Inc. (FKA Ventive Health, Inc.),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 6.50%, 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>1,100</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,097,937</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Renal Advantage Holdings, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 6/03/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525,000</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 Holding Co. II, LLC (Vanguard Health</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Systems, Inc.), Initial Term Loan, 5.00%, 1/29/16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>803</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>793,359</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>7,404,001</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Health, Inc., Tranche B Dollar 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; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 2/26/16</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>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>995,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#151; 5.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrah&#146;s Operating Co., Inc., Term Loan B-4, 9.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>1,493</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,523,180</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Penn National Gaming, Inc., Term Loan B, 2.01% &#150;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.17%, 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>425</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>414,532</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>1,120</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,120,737</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., Tranche B Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 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>895</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>884,620</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 style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.76%, 8/23/13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>230</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>218,222</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit Loan, 3.03%, 8/23/13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,042</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Dollar Term Loan, 2.76%, 8/23/13</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>115,879</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Universal City Development Partners Ltd.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 7.75%, 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>746</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>749,981</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 5.50%, 11/16/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>571</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>571,266</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>VML US Finance LLC (FKA Venetian Macau):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Delayed Draw Project Loan, 5.04%, 5/25/12</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>295,251</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Funded Project Loan, 5.04%, 5/27/13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>866</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850,957</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>6,765,667</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#151; 4.1%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Audio Visual Services Group, Inc., Tranche B Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 2.79%, 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>742</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>549,351</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, 3.26%, 11/09/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>980</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>871,984</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16</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>391,000</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 style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan, 3.01%, 9/24/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>96</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>82,009</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.01%, 9/24/14</FONT>&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>1,250,871</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.01%, 9/24/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>537</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>458,237</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" colSpan=2 align=left><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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>494,255</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransUnion LLC, Term Loan, 6.75%, 6/15/17</FONT>&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>1,261,329</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left></TD>
     <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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,359,036</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE style="WIDTH: 435px; HEIGHT: 1566px" 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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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 (b)</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>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" 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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#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>Dynegy Holdings, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Letter of Credit Facility, 4.02%, 4/02/13</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>227</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 223,023</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 4.02%, 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>18</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,862</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan, 3.79% &#150; 4.03%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT 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>1,091</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>826,552</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.79% &#150; 4.03%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT 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>229</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>173,857</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,241,294</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp., Term Loan, 3.79%, 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>1,922</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,768,398</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>Alliant Holdings I, Inc., Term Loan, 3.53%, 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>478</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>454,290</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>382</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>382,115</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>EB Sports Corp., Loan, 11.50%, 5/01/12 (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>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>425,959</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#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>Oshkosh Truck Corp., Term Loan B, 6.44%- 6.54%,</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; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/06/13</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>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>483,155</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Horizon Lines, LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolving Loan, 3.52% &#150; 3.55%, 8/08/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>166,986</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.79%, 8/08/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>134,762</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>301,748</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 16.7%</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>Cengage Learning Acquisitions, Inc. (Thomson Learning),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><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>1,487</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,482,404</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, New Term Loan, 2.30%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>271,759</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:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Term Loan, 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>349</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>330,469</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B1, 7.25%, 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>524</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>535,252</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 3.79%, 9/06/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,590</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,477,518</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clarke American Corp., Term Loan B, 2.76%, 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>574</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>494,458</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 style="TEXT-INDENT: 1px" align=left><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>727,241</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>446</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>429,414</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., Tranche A Term Loan, 5.79%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/12/14 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>991</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>902,681</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, Term Loan, 2.56% &#150; 2.63%, 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>742</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>321,082</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-A Term Loan, 3.03%, 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>251</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>237,478</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-B Term Loan, 3.03%, 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>251</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>237,405</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-C Term Loan, 3.03%, 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>251</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>237,405</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interactive Data Corp., Term Loan, 6.75%, 1/29/17</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>603,500</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.52%, 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>322,477</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 Communications,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D Term Loan, 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>721</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>706,591</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche E Term Loan, 4.50%, 10/23/17</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>566,240</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>2,122,500</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A Dollar Term Loan, 2.29%, 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>34</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,717</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B Dollar Term Loan, 4.04%, 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>1,023</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>988,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class C Dollar Term Loan, 4.04%, 5/28/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>552</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>529,722</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., Term Loan (First Lien), 5.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/01/14 (f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>971</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>670,010</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Regal Cinemas Corp., Term Loan, 4.03%, 11/19/16</FONT>&nbsp;</TD>
     <TD align=left>&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>344,761</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sinclair Television Group, Inc., New Tranche B Loan, 5.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>614</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>614,147</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 style="TEXT-INDENT: 1px" align=left><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>1,253,522</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>21</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_23"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<TABLE style="WIDTH: 522px; HEIGHT: 1474px" 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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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 (b)</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>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" 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=#004a91 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>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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 5.68%, 6/01/12</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>473</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 440,742</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TWCC Holdings Corp., Replacement Term Loans, 5.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>997</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>996,087</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, 4.63%, 12/31/17 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>941,079</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., Facility B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.77%, 12/31/15</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>1,115,016</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/Yell Finance (UK) Ltd., Facility A3,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.60%, 8/09/11</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>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>678,516</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>21,610,518</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#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>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 style="TEXT-INDENT: 3px" align=left><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>598,262</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.00%, 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>672</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>624,653</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>1,222,915</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 0.41%, 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>4</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,022</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Advance (First Lien), 3.06%, 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>258</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>239,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>243,297</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#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>Dollar General Corp., Tranche B-2 Term Loan, 3.01% &#150;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.03%, 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>616,342</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, 5.65%, 1/01/17</FONT>&nbsp;</TD>
     <TD align=center><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>1,641,089</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, 2.30%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/06/13</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>497</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>471,176</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,728,607</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#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>Big West Oil, LLC, Term Loan, 12.00%, 7/23/15</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>328,927</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>1,794</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,421,740</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,750,667</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest 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>Georgia-Pacific LLC, Term Loan B-2, 2.30% &#150; 2.53%,</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; TEXT-INDENT: 1px" align=left><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>710</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>699,552</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Personal Products &#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>American Safety Razor Co., LLC, Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 7/31/13</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>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>44,598</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#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>Warner Chilcott Co., LLC, Term Loan A, 6.00%, 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>367</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>366,269</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.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Additional Term Loan, 6.25%, 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>210</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>209,777</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 6.25%, 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>154</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>153,795</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 6.25%, 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>255</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>254,407</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 6.50%, 2/20/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>208</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>208,333</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-4, 6.50%, 2/20/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>67,599</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,260,180</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Booz Allen Hamilton, Inc., Tranche C 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; TEXT-INDENT: 1px" align=left><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=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>995</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>994,751</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#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>Realogy Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan B, 3.30% &#150; 3.53%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>1,344</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,159,455</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan B, 3.30%, 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>588</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>507,692</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 0.11%, 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>101</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87,031</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility (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>527,500</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>2,281,678</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#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>Freescale Semiconductor, Inc., Extended Maturity</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; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.56%, 12/01/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>196,728</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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 (b)</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>(000)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" 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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#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>Telcordia Technologies, Inc., 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/30/16</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>599</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 598,001</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vertafore, Inc., Term Loan B, 6.75%, 7/28/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>322,969</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>920,970</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#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>Bass Pro Group LLC, Term Loan, 5.00% &#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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/10/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>109,689</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Burlington Coat Factory Warehouse Corp., Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.54% &#150; 2.66%, 5/28/13</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>194,186</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matalan, Term Loan, 5.57%, 3/24/16</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>300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>455,724</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 2.63% &#150; 2.81%, 10/31/13</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>475</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>448,347</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 4.88% &#150; 5.06%, 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>390</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375,812</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Toys &#145;R&#146; US, Inc., Term Loan B, 6.00%, 8/17/16</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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>698,246</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,282,004</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#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>Hanesbrands, Inc., New Term Loan, 5.25%, 12/10/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>368</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>371,091</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Phillips Van Heusen Corp., US Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 5/06/16</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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>742,202</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>1,113,293</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication 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>Cavtel Holdings, LLC, Term Loan, 10.50%, 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>306</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>289,566</FONT>&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., US Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Non-Rollover), 3.06%, 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>2,015</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,967,148</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.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 2.56%, 11/03/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>84</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>81,163</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan B, 3.81%, 11/03/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>910</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>892,574</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vodafone Americas Finance 2 Inc., Initial Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 7/30/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000,000</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>4,230,451</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; 95.5%</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>123,517,284</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beneficial&nbsp;&nbsp;</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;&nbsp;&nbsp;&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=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>(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=#004a91 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>Delphi Debtor-in-Possession Holding Co. LLP Class B</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Membership Interests</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 4px" 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>1,247,163</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</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>256</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&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>1,247,240</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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=right>&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 (k)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" 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>596,461</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>Stanley Martin, Class B Membership Units (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>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>526,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#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>RathGibson Acquisition Corp., LLC (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>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>466,218</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>Buffets, 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>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 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; 2.2%</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>2,836,205</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 (l)</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>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=#004a91 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. (Expires 4/29/14)</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>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=#004a91 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>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=#004a91 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>HMH Holdings/EduMedia (Expires 3/09/17)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,970</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#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>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>
     <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; $176,498,376) &#151; 124.2%</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>160,736,123</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>22 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="15%"></TD>
     <TD width="19%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><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=center><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><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; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class, 0.25% (m)(n)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,822,139</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,822,139</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; $1,822,139) &#151; 1.4%</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>1,822,139</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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Strike Price USD 942.86, expires 12/21/19,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><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>&#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 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>&#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 Investments (Cost &#151; $178,333,226*) &#151; 125.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>162,558,262</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; (25.6)%</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>(33,173,564)</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>$129,384,698</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The cost and unrealized appreciation (depreciation) of investments as of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>August 31, 2010, as computed for federal income tax purposes, were as follows:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="57%"></TD>
     <TD width="42%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$176,247,509</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,697,994</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(18,387,241)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (13,689,247)</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Variable rate security. Rate shown is as of report date.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) Non-income producing security.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Convertible security.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Represents a zero-coupon bond. Rate shown reflects the current yield as of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>report date.</FONT><BR>
<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><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional face/shares.</FONT><BR>
<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><BR>
<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><BR>
<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><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>zation entities and are non-income producing.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(j) Amount is less than $1,000.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(k) The investment is held by a wholly owned taxable subsidiary of the Fund.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(l) Warrants entitle the Fund to purchase a predetermined number of shares of com-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mon stock and are non-income producing. The purchase price and number of</FONT><BR>
<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><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if any.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(m) Investments in companies considered to be an affiliate of the Fund, for purposes</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as follows:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="20%"></TD>
     <TD width="29%"></TD>
     <TD width="15%"></TD>
     <TD width="22%"></TD>
     <TD width="11%"></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>Shares Held at</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>Shares Held at</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" 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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31, 2009</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>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>August 31, 2010</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 style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 5px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds, TempFund,</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class 2,371,578</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(549,439)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,822,139</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$4,377</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(n) Represents the current yield as of report date.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT 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>Foreign currency exchange contracts as of August 31, 2010 were as follows:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="2%"></TD>
     <TD width="9%"></TD>
     <TD width="5%"></TD>
     <TD width="5%"></TD>
     <TD width="8%"></TD>
     <TD width="14%"></TD>
     <TD width="2%"></TD>
     <TD width="4%"></TD>
     <TD width="14%"></TD>
     <TD width="13%"></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=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><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 colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp; Currency</FONT></B>&nbsp;</TD>
     <TD align=left>&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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Appreciation&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</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" colSpan=2 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=center><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>EUR</FONT>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>740,100</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>944,751</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/15/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (6,879)</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=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>430,539</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>331,500</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/15/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,455</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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5,814,564&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;EUR</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,598,500</FONT>&nbsp;</TD>
     <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Deutsche Bank AG&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9/15/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,762)</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>CAD</FONT>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>310,100</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>294,677</FONT>&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>UBS AG</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/20/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,105)</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=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>960,318</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,014,000</FONT>&nbsp;</TD>
     <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Deutsche Bank AG&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10/20/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,174</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>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,597,374&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GBP</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,701,500</FONT>&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>Citibank 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>10/20/10</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,222)</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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <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>$ (14,339)</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=10 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on single-name issuers &#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=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>August 31, 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=left>&nbsp;</TD>
     <TD align=left><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 colSpan=2 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=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=center><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>Issuer</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=2 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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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=center><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=6 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;&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; September</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 100</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (5,270)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><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=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>Bank USA</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;&nbsp;&nbsp;&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></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=10 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on single-name issuers &#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=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>August 31, 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 colSpan=2 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 colSpan=2 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=center>&nbsp;</TD>
     <TD align=center>&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=center><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>Issuer</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=4 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>part<FONT size=1 face=Arial>y&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT>&nbsp;Expiration&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>1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</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=center><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>BAA</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=3 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; Deutsche&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><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&#151;</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=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (16,210)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 1px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ferrovial</FONT>&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 AG</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><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=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 1px" colSpan=3 align=left><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; TEXT-INDENT: 1px" align=left><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>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using S&amp;P&#146;s rating of the issuer.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The maximum potential amount the Fund may pay should a negative credit</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>event take place under the terms of the agreement. See Note 2 of the Notes to</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial Statements.</FONT></P>
<P style="TEXT-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>For Fund compliance purposes, the Fund&#146;s industry classifications refer to any one</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or rating group indexes, and/or as defined by Fund management.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>This definition may not apply for purposes of this report, which may combine such</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>industry sub-classifications for reporting ease.</FONT><BR>
<FONT color=#231f20 size=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 and derivatives, 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 in active 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 cir-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cumstances, to the extent observable inputs are not available (including the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s own assumptions used in determining the fair value of investments and</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>derivatives)</FONT><BR>
<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 Fund&#146;s policy regarding valuation of investments and derivatives and other</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>significant accounting policies, please refer to Note 1 of the Notes to Financial</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>23</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of August 31, 2010 in determin-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing the fair valuation of the Fund&#146;s investments and derivatives:</FONT></P>
<DIV align=left>
<TABLE style="WIDTH: 454px; HEIGHT: 543px" border=0 cellSpacing=0>
<TR>
     <TD width="19%"></TD>
     <TD width="5%"></TD>
     <TD width="15%"></TD>
     <TD width="19%"></TD>
     <TD width="20%"></TD>
     <TD width="19%"></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>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; TEXT-INDENT: 4px" align=left><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=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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</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></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments in</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 style="TEXT-INDENT: 2px" colSpan=2 align=left><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></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 style="TEXT-INDENT: 2px" align=left><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=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>$ 338,985</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 338,985</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Stocks .&nbsp;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,315,437</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 974,321</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>230,600</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,520,358</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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>30,618,361</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>904,927</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,523,288</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><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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100,638,458</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,878,826</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>123,517,284</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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,247,163</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,589,042</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,836,205</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=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>3</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><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 style="TEXT-INDENT: 2px" align=left><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>1,822,139</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>1,822,139</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitments .</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>3,118</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,118</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</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></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>&#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>(49,778)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(49,778)</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>$ 3,137,576</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$133,478,303</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 25,895,723</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$162,511,602</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="24%"></TD>
     <TD width="15%"></TD>
     <TD width="24%"></TD>
     <TD width="12%"></TD>
     <TD width="8%"></TD>
     <TD width="14%"></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>Derivative 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; TEXT-INDENT: 5px" 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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</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 style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</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 style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>$ 20,629</FONT>&nbsp;</TD>
     <TD align=right>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT></TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 20,629</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit 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>(21,480)</FONT>&nbsp;</TD>
     <TD align=right>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT></TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,480)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</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 style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</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 style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</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>(34,968)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT></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>(34,968)</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>$ (35,819)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (35,819)</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivative financial instruments are swaps and foreign currency exchange</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts. Swaps and foreign currency exchange contracts are valued at the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unrealized appreciation/depreciation on the instrument.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="24%"></TD>
     <TD width="11%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="7%"></TD>
     <TD width="3%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></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>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=center><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=center>&nbsp;</TD>
     <TD colSpan=3 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&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=center><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; TEXT-INDENT: 1px" 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>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitments</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets/Liabilities:</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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right>&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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ 3&nbsp;</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>$27,387,037</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>10,519</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,987,234)</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=left><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>(1,976,715)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <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>(10)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,793,325)</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=left><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>(8,793,335)</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/</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>(189,270)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,466)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(162,598)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,482,159</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>367,896</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><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>(84,670)</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 1px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,411,051</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <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>10,670</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,963,590</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=left><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>5,974,260</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <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>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(22,584,933)</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=left><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>(22,584,934)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</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>230,519</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,664</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,285,651</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>992,544</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><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 style="TEXT-INDENT: 1px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,521,378</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>&#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>(2,889)</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>(5,040,130)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><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>(5,043,019)</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 August 31, 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>$ 338,985</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 230,600</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 904,927</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$22,878,826</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,589,042</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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT> (46,660)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$25,895,723</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 the unrealized appreciation/depreciation on the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities still held on August 31, 2010 was $794,210.</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 Fund&#146;s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>24 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#004a91 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>August 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="63%"></TD>
     <TD width="17%"></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=center><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; TEXT-INDENT: 5px" 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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#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>Masonite Worldwide Holdings</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,335</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 430,730</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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></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=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=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>21</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>5,057</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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></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=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>63,910</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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></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=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>2,221</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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></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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>133,089</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>312,020</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=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>358,586</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=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>23,362</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>693,968</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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></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>HMH Holdings/EduMedia</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>93,413</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>467,064</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; 0.6%</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>1,662,950</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>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=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=#004a91 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></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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 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>598,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 International Holdings Unsecured, 12.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/06/14</FONT>&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>31,660</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Icahn Enterprises LP:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 1/15/16</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>213,388</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 1/15/18</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>1,990,000</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>2,235,048</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#151; 2.2%</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>CPG International I, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 7/01/12 (c)</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>3,381,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.50%, 7/01/13</FONT>&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>2,297,125</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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,679,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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></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=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>387,760</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)(d)</FONT>&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>42,782</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></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/15/18 (b)(d)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>314</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,219</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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>458,761</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#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>CF Industries, Inc., 6.88%, 5/01/18</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>905</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>952,512</FONT>&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. (b):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 3/31/15 (d)(e)</FONT>&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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 3/31/15</FONT>&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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wellman Holdings, Inc., Subordinate Note (Third Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 1/29/19 (d)(e)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>464</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180,985</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,239,243</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#151; 1.1%</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>CIT Group, Inc., 7.00%, 5/01/17</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,990</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,811,533</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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></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=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>820,000</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=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>566,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,386,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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></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=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>1,629,987</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="7%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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; TEXT-INDENT: 5px" 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=#004a91 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 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><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>360</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 373,050</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>915</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>937,875</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>1,310,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#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>Berry Plastics Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 11/15/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,604,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.50%, 5/15/18 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>520</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>478,400</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>95</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>90,487</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, 2.54%, 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>3,490,000</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/01/14</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>143</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>183,029</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 style="TEXT-INDENT: 3px" align=left><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>525</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>678,613</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>649,466</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>7,173,995</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial 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>Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16</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>185</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185,231</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>1,180,444</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GMAC, Inc., 2.74%, 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>1,875</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,611,988</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>806,000</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>514,499</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>4,298,162</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified 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>Frontier Communications Corp., 8.25%, 4/15/17</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>585</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>618,637</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ITC Deltacom, Inc., 10.50%, 4/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>738,750</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 style="TEXT-INDENT: 1px" align=left><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>645,000</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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>629,100</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>2,631,487</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>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>1,168,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#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>AmeriQual Group LLC, 9.50%, 4/01/12 (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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>245,000</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., 8.00%, 8/15/20 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>268,313</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>513,313</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food 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 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>617,250</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>475,875</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>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>848,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,941,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>1,333,706</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Renal Holdings, 8.38%, 5/15/18 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>145</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>145,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc., 7.25%, 9/15/20</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>485</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>506,825</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.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT 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>186,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>1,360</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,470,500</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>2,308,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>2,155,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#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>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 style="TEXT-INDENT: 1px" align=left><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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>528,188</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MGM Resorts International, 10.38%, 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>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>534,100</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>1,062,288</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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</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>1,351,500</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#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>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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/01/16 (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>1,725</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,811,250</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>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>963,003</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>2,730</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,784,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,558,853</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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., 13.50%, 12/01/15 (b)(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>1,557</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,619,629</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#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>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>1,076,250</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</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>458,850</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.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.25%, 12/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>401</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>416,038</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 9.25%, 12/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,604</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,682,195</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>963,156</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>148</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>174,424</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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,055,000</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>6,825,913</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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., 4.30%, 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>265,331</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ryerson, Inc., 7.84%, 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>834,750</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>1,100,081</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.63%, 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>100</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>109,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.88%, 7/15/17 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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>511,750</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>621,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#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>Coffeyville Resources LLC, 9.00%, 4/01/15 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>305</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>313,388</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 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>1,263,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,576,538</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest 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>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>1,235</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,056,250</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, 4.22%, 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>340</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>278,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,335,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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., 4.29%, 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>488,537</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, 4.38%, 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>1,817,725</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,306,262</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>
     <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>Phillips-Van Heusen Corp., 7.38%, 5/15/20</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>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>370,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#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>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>1,700</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,755,250</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)(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>279,390</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iPCS, Inc., 2.59%, 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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,402,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nextel Communications, Inc., Series E, 6.88%, 10/31/13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>775</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>773,062</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sprint Capital Corp., 8.38%, 3/15/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>396,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>4,606,765</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; 26.6%</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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70,209,689</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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#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>DynCorp International, Term Loan, 6.25%, 7/07/16</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>1,240,313</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Linked Deposit, 0.43%, 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>98</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77,879</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.26% &#150; 2.53%, 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>1,600</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,274,759</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 style="TEXT-INDENT: 3px" align=left><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>646</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>646,538</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>1,313</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,316,684</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,556,173</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="6%"></TD>
     <TD width="11%"></TD>
     <TD width="17%"></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>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 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; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.11 &#150; 2.28%, 4/30/12</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>1,213</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,159,453</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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., Term Loan, 8.51%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>1,407</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,350,716</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group, Inc., Tranche B Term Loan, 5.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/09/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,496</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,439,512</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, 3.04%, 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>4,674</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,306,791</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, 4.52% &#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 style="TEXT-INDENT: 1px" align=left><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>765</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750,445</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Exide Global Holdings Netherlands C.V., European</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrower, Term Loan, 3.94%, 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>316</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>370,569</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., (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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PIK Fee 12.00%, 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>9</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="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan 10.25%, 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>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>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>8,218,033</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Automobiles &#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>Ford Motor Co.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 3.03%, 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>3,243</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,119,966</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 3.03%, 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>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>87,542</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>3,207,508</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#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>Building Materials Corp. of America, Term Loan Advance,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.06%, 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>701</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>688,101</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>2,717</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,726,590</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 2.88%, 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>655</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>760,878</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/14/12</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>1,133</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,047,569</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>5,223,138</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>Nuveen Investments, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.48% &#150; 3.53%, 11/13/14</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>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>860,743</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 6.0%</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>CF Industries, Inc., Term Loan B-1, 4.50%, 4/05/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>949</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>953,926</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chemtura Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Debtor in Possession Term Facility, 6.00%, 2/11/11</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>1,596,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Exit Term Loan, 5.50%, 8/16/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,405,834</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 style="TEXT-INDENT: 1px" align=left><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>815</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>814,673</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, 2.02%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>711</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>672,018</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lyondell Chemical Co., Exit Term Loan, 5.50%, 4/08/16</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>594,097</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MacDermid, Inc., Tranche C Term Loan, 2.27%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/12/14</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>546</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>629,834</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>2,426</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,433,584</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.), Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 3.52% &#150; 3.73%, 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>2,412</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,205,781</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 style="TEXT-INDENT: 1px" align=left><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>1,277</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,276,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia, Inc., Term Loan, 4.75%, 3/17/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,260</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,259,066</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:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 11.25%, 9/20/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,458</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,470,083</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 11.25%, 9/20/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>392</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>394,948</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>15,706,494</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#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>CIT Group, Inc., Tranche 3 Term Loan, 6.25%, 8/11/15</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>2,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,491,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 6.2%</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit-1 Facility, 0.11%, 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>33</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30,843</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit-2 Facility, 0.11%, 7/26/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>52</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,469</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan, 2.41%, 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>451</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>426,507</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan B, 3.78%, 7/26/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>792</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>767,410</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AWAS Finance Luxembourg Sarl, 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/10/16</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>1,357,874</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>26 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 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><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 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>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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.02%, 10/21/13</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>814</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 782,661</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advanced Disposal Services, Inc., Term Loan B, 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>1,095</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,094,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Altegrity, Inc., Incremental Term Loan, 7.75%, 2/21/15</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>1,743,437</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 Loan B, 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 style="TEXT-INDENT: 1px" align=left><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>743</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>746,212</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,105,959</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Diversey, Inc. (FKA Johnson Diversey, 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="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar Term Loan, 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>896</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>893,261</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International Lease Finance Corp., Term Loan 1,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 3/17/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,125</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,141,824</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Protection One, Inc., Term Loan, 6.00%, 6/04/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,480</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,463,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Quad Graphics, Term Loan, 5.50%, 4/20/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>548,550</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.27% &#150; 2.28%, 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>1,556</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,314,783</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 Loan B-3, 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 style="TEXT-INDENT: 1px" align=left><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>1,825</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,818,431</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,286,071</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sorenson Communications Tranche C Term Loan, 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/16/13</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>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>221,822</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#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>Aquilex Holdings LLC, Term Loan, 5.50%, 4/01/16</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>198,669</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safway Services, LLC, First Out Tranche 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/18/17</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 style="BORDER-BOTTOM: #000000 1px solid" 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 style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,898,669</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#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>Fairmount Minerals Ltd., Term Loan B, 6.25%, 8/05/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>875</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>875,365</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#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>AGFS Funding Co., Term Loan, 7.25%, 4/21/15</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>3,952,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Daimler Chrysler 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="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (Second Lien), 6.78%, 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>3,193</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,181,167</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>7,133,667</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#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>Anchor Glass Container Corp., Term Loan (First Lien)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 3/02/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>639</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>632,751</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BWAY Holding Co. Term Loan B, 5.50% &#150; 6.00%, 6/16/17</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>293</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>292,206</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 Loan C, 2.38%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><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>707</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>644,449</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, Term Loan C, 6.75%, 4/05/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>629</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>632,410</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ICL Industrial Containers ULC/ICL Contenants Industriels</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ULC (FKA BWAY), Term Loan C, 5.50% &#150; 6.00%, 6/16/17</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,411</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,229,227</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Service Corp., Term Loan, 3.35%, 11/14/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,688</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,343,574</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Laureate Education, Series A New 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>3,823</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,758,837</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ServiceMaster Co.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Loan, 2.77% &#150; 3.04%, 7/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,942</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,784,611</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.77%, 7/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>177,721</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>8,064,743</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial 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>MSCI, Inc., Term Loan, 4.75%, 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>1,696</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700,696</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.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Incremental US Term Loan, 6.25%, 5/05/16</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>992,917</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan, 6.25%, 5/05/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,292</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,285,093</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Whitelabel IV SA:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B1, 5.00%, 8/11/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>339</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425,302</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B2, 5.00%, 8/11/17</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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>703,818</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>5,107,826</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE style="WIDTH: 429px; HEIGHT: 1681px" 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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication 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>Cincinnati Bell Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 6/11/17</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>1,172</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,163,272</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, 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/15/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,625</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,620,937</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,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.53% &#150; 2.78%, 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>3,100</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,776,921</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.89%, 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>1,264,677</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, Term Loan 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.14%, 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>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>869,214</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,695,021</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#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>New Development Holdings, LLC, 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 style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/03/17</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>3,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,030,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electrical Equipment &#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" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Baldor Electric Co., Term Loan, 5.25% &#150; 5.50%, 1/31/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,257</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,256,973</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp; Components &#151; 1.5%</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>CDW LLC (FKA CDW Corp.), Term Loan, 4.28%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>1,265</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,132,706</FONT>&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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.51%, 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>39</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,681</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.56%, 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>46</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,794</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.56%, 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>1,056</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,016,544</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Styron Sarl, Term Loan, 7.50%, 6/17/16</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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,612,496</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>3,841,221</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 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>450</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>448,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 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>1,088</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,085,674</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>1,534,549</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#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>AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.55%, 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>1,854,679</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 (First Lien) 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/16</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>1,097</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,091,204</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, 2.51%, 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>909</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>869,656</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, 7.00%, 3/03/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,073</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,069,372</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 LLC, Initial Tranche B Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 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>2,372</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,375,434</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., Term Loan B, 6.00%, 7/09/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>458,850</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>7,719,195</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food 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>CII Investment, LLC (FKA Cloverhill):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A, 8.50%, 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>852</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>852,479</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 8.50%, 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>1,037</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,036,807</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., 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00% &#150; 5.50%, 3/02/17</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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>496,509</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michael Foods Group, Inc. (FKA M-Foods Holdings, Inc.),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 6.25%, 6/29/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000,714</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, 5.53%, 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>1,215</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,202,850</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 D Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 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>1,612</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,614,015</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-1 Term Loan, 5.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/02/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,233</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,234,973</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>7,438,347</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Biomet, Inc., Dollar Term Loan, 3.26% &#150; 3.54%, 3/25/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>737</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>711,877</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 (FKA 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.26%, 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>878</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>833,116</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-1 Dollar Term Loan, 4.50%, 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>631</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>631,841</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-2 Term Loan, 4.50%, 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>336</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>336,667</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>2,513,501</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 5.6%</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>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.55%, 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>162</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>153,105</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan Facility, 2.55%, 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>3,146</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,965,975</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, 1.77% &#150; 2.04%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/05/12</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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>280,605</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gentiva Health Services, Inc., Term Loan B, 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/12/16</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>1,100</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,085,563</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A-1 Term Loan, 2.03%, 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>1,619</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,557,905</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 2.78%, 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>636</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>612,183</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 3.78%, 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>1,166</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,128,279</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harden Healthcare LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Add-on Term Loan, 7.75%, 3/02/15</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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,274,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 8.50%, 2/22/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>793</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>776,873</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>inVentiv Health, Inc. (FKA Ventive Health, Inc.),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 6.50%, 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>2,300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,295,687</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Renal Advantage 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 6/03/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vanguard Health Holding Co. II, LLC (Vanguard Health</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Systems, Inc.), Initial Term Loan, 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>1,591</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,571,919</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>14,802,094</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#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>IMS Health, Inc., Tranche B Dollar Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 2/26/16</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>1,876</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,879,117</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#151; 5.9%</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>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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 3.50%, 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>164,493</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 3.50% &#150; 3.53%, 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>3,613</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,087,081</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Penn National Gaming, Inc., Term Loan B, 2.01% &#150; 2.24%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>1,108,205</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>2,488</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,490,457</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., Tranche B Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 6.00%, 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>1,790</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,769,240</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.76%, 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>475</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450,676</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit Loan, 3.03%, 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>223</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210,583</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Dollar Term Loan, 2.76%, 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>1,135</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,071,526</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 Partners, Ltd.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 7.75%, 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>1,493</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,499,963</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 5.50%, 11/16/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,141</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,142,532</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 (FKA Venetian Macau):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Delayed Draw Project Loan, 4.80%, 5/25/12</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>238</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>233,863</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Delayed Draw Project Loan, 5.04%, 5/25/12</FONT>&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>698,101</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Funded Project Loan 4.80%, 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>412</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>404,878</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Funded Project Loan 5.04%, 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>1,397</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,372,002</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>15,703,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Audio Visual Services Group, Inc., Tranche B Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 2.79%, 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>990</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>732,468</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, 3.26%, 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>1,142</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,016,301</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16</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>782,000</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan, 3.01%, 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>484</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>413,374</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.01%, 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>3,282</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,798,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.01%, 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>536</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>457,363</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 style="TEXT-INDENT: 1px" align=left><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>1,589</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,586,885</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransUnion LLC, Term Loan, 6.75%, 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>2,750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,774,923</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>10,561,689</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#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>Dynegy Holdings, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Letter of Credit Facility, 4.02%, 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>461</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>453,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 4.02%, 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>37</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,288</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan, 3.79% &#150; 4.03%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT 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>1,530</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,159,416</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.79% &#150; 4.03%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT 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>1,415</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,066,890</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,715,694</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE style="WIDTH: 440px; HEIGHT: 1658px" 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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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; TEXT-INDENT: 5px" 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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#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>Sequa Corp., Term Loan, 3.79%, 12/03/14</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>3,844</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,536,357</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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, 3.53%, 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>478</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>454,290</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>573</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>573,173</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Loan, 2.55%, 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>144</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120,566</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Loan, 2.79%, 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>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>238,672</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>359,238</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#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>Oshkosh Truck Corp., Term Loan B, 6.44% &#150; 6.54%,</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; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/06/13</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>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>1,000,642</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Horizon Lines, LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolving Loan, 3.52% &#150; 3.55%, 8/08/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>391</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>333,972</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.79%, 8/08/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>269,524</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>603,496</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 15.6%</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>Cengage Learning Acquisitions, Inc. (Thomson Learning),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><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>3,783</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,769,968</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, New Term Loan, 2.30%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>505,725</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:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Term Loan, 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>611</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>578,321</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B1, 7.25%, 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>1,023</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,045,035</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 3.79%, 9/06/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,240</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,011,826</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clarke American Corp., Term Loan B, 2.76%, 6/30/14 (d)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,244</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,072,759</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>786</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>755,784</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., Tranche A Term Loan, 5.79%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/12/14 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,984</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,806,563</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, Term Loan, 2.56% &#150; 2.63%, 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>1,463</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>632,531</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-A Term Loan, 3.03%, 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>331</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>312,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-B Term Loan, 3.03%, 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>331</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>312,578</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-C Term Loan, 3.03%, 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>331</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>312,578</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., Term Loan B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.03%, 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>1,674</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,596,910</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interactive Data Corp., Term Loan, 6.75%, 1/29/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,207,000</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.52%, 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>322,477</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C1, 3.77%, 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>322,477</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 6.89%, 3/01/13 (d)</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>1,336</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,135,420</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 Communications,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D Term Loan, 5.50%, 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>450</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>440,854</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche E Term Loan, 4.50%, 10/23/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,225</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,099,806</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>2,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,653,125</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A Dollar Term Loan, 2.29%, 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>57</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54,061</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B Dollar Term Loan, 4.01%, 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>2,097</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,026,594</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class C Dollar Term Loan, 4.04%, 5/28/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,172</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,124,826</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Regal Cinemas Corp., Term Loan, 4.03%, 11/19/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>698</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>689,522</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., New Tranche 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 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>1,023</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,023,579</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 7/01/16</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>2,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,507,045</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. (FKA HIT Entertainment),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 5.68%, 6/01/12</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>952</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>888,011</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TWCC Holdings Corp. Replacement Term Loans, 5.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>2,039</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,036,334</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, 4.64%, 12/31/17&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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>2,176,246</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., Facility B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.78%, 12/31/15</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>1,350</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,007,029</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/Yell Finance (UK) Ltd., Facility A3,</FONT>&nbsp;</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>2.60%, 8/09/11</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>938</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>904,687</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41,332,346</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>28 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 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_30"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<TABLE style="WIDTH: 430px; HEIGHT: 1474px" 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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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; TEXT-INDENT: 5px" 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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#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>Energy Transfer Equity, LP, Term Loan, 2.02%, 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>$ 978,750</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 0.41%, 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>8</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,622</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Advance (First Lien), 3.06%, 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>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>453,418</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,439,790</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#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>Dollar General Corp., Tranche B-2 Term Loan, 3.01% &#150;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.03%, 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>1,623,033</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:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B, 2.65%, 7/06/15</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>406</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486,777</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C, 3.40%, 7/05/16</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>406</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486,777</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, 2.30%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>1,023</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>969,277</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>3,565,864</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>Big West Oil, LLC, Term Loan, 12.00%, 7/23/15</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>625</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>632,552</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>Georgia-Pacific LLC, Term Loan B, 2.30% &#150; 2.53%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>1,549</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,526,428</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, PIK Loan, 6.99% &#150;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.44%, 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>2,121</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,272,323</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,798,751</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Personal Products &#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>American Safety Razor Co., LLC, Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 7/31/13</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>102</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>94,188</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#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>Warner Chilcott Co., LLC, Term Loan A, 6.00%, 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>733</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>732,321</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.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Additional Term Loan, 6.25%, 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>427</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>426,699</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 6.25%, 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>302</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>301,255</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 6.25%, 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>502</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>501,577</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 6.50%, 2/20/16</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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>488,636</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-4, 6.50%, 2/20/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>158</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>158,549</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,609,037</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Booz Allen Hamilton, Inc., Tranche C 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; TEXT-INDENT: 1px" align=left><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=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,239</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,238,190</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#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>Mattamy Funding Partnership, Term Loan, 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>409</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>376,218</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan B, 3.30% &#150; 3.53%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>2,413</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,082,233</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan B, 3.30%, 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>2,843</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,453,038</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 3.26%, 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>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>133,556</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>5,045,045</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#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>Freescale Semiconductor, Inc., Extended Maturity</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; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.56%, 12/01/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>509,705</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#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>Telcordia Technologies, Inc., 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/30/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,297</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,295,670</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vertafore, Inc., Term Loan B, 6.75%, 7/28/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>670</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>665,812</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>1,961,482</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#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>Bass Pro Group LLC, Term Loan, 5.00% &#150; 5.57%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/10/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>309</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>309,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Burlington Coat Factory Warehouse Corp., Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.54% &#150; 2.66%, 5/28/13</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>467,348</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matalan, Term Loan, 5.57%, 3/24/16</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>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>759,539</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="17%"></TD>
     <TD width="18%"></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>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail (concluded)</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>Michaels Stores, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 2.63% &#150; 2.81%, 10/31/13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;995</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 938,358</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 4.88% &#150; 5.06%, 7/31/16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>534</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>515,596</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Toys &#145;R&#146; US, Inc., Term Loan B, 6.00%, 8/17/16</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>1,496,241</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>4,486,207</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#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>Hanesbrands, Inc., New Term Loan, 5.25%, 12/10/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>737</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>742,181</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Phillips Van Heusen Corp., US Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 5/06/16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,472</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,479,647</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,221,828</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 3.1%</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>Digicel International Finance Ltd., US Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Non-Rollover), 3.06%, 3/30/12</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,573</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,464,797</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.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 2.56%, 11/03/13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>167</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>162,221</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 3.81%, 11/03/16</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,819</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,783,993</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vodafone Americas Finance 2 Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Loan, 6.88%, 7/30/15</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>8,161,011</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; 93.6%</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>247,554,975</FONT>&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>Beneficial</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>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=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=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#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>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; TEXT-INDENT: 1px" align=left><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;(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>3,117,901</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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></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 (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>&#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>684,050</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; 1.5%</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>3,801,951</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 (j)</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>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=#004a91 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></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>HMH Holdings/EduMedia (Expires 3/09/17)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,690</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>&#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></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; $336,484,337) &#151; 122.3%</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>323,229,565</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; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class, 0.25% (k)(l)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>788,199</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>788,199</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 Short-Term Securities (Cost &#151; $788,199) &#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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>788,199</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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Strike Price USD 942.86, expires 12/21/19,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><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>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>&#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 Options Purchased (Cost &#151; $19,555) &#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>&#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 Investments (Cost &#151; $337,292,091*) &#151; 122.6%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>324,017,764</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; (22.6)%</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>(59,638,586)</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>$264,379,178</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>29</FONT></P>
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<A name="page_31"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The cost and unrealized appreciation (depreciation) of investments as of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>August 31, 2010, as computed for federal income tax purposes, were as follows:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="57%"></TD>
     <TD width="42%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 336,040,547</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,904,041</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(18,926,824)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (12,022,783)</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a) Non-income producing security.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) Variable rate security. Rate shown is as of report date.</FONT><BR>
<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</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional face/shares.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Convertible security.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Issuer filed for bankruptcy and/or is in default of interest payments.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Other interests represent beneficial interest in liquidation trusts and other reorgani-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>zation entities and are non-income producing.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) Amount is less than $1,000.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) The investment is held by a wholly owned taxable subsidiary of the Fund.</FONT><BR>
<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><BR>
<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><BR>
<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><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if any.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(k) Investments in companies considered to be an affiliate of the Fund during the year,</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amended, were as follows:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="2%"></TD>
     <TD width="7%"></TD>
     <TD width="14%"></TD>
     <TD width="5%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD>
     <TD width="4%"></TD>
     <TD width="18%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 1px" colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</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 colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</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" colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31, 2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" 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" colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31, 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>Income</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>BlackRock Liquidity</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" colSpan=3 align=left><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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp; 2,018,379</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,230,180)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 788,199&nbsp;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT> 6,371</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 align=left><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 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 style="BORDER-BOTTOM: #000000 1px solid" colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of August 31, 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 colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</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=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=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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Appreciation&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</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=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" colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Depreciation)</FONT></B>&nbsp;&nbsp;&nbsp;&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; 14,334,718</FONT>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11,326,500</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=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 1px" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/15/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT> (18,486)</FONT>&nbsp;&nbsp;&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=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>941,400</FONT>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp;&nbsp;&nbsp;&nbsp; 1,205,673</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=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 1px" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/15/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,709)</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=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295,956</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>312,500&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;Deutsche Bank AG</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/20/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,136</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,551,319</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,981,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&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>10/20/10</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19,664)</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" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (47,723)</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-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>For Fund compliance purposes, the Fund&#146;s industry classifications refer to any one</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or rating group indexes, and/or as defined by Fund management.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>This definition may not apply for purposes of this report, which may combine such</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>industry sub-classifications for reporting ease.</FONT></P>
<P style="TEXT-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 and derivatives, 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 in active 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>Fund&#146;s own assumptions used in determining the fair value of investments and</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>derivatives)</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</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>indication of the risk associated with investing in those securities. For information</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>about the Fund&#146;s policy regarding valuation of investments and derivatives and other</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>significant accounting policies, please refer to Note 1 of the Notes to Financial</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Statements.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of August 31, 2010 in determin-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing the fair valuation of the Fund&#146;s investments and derivatives:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="22%"></TD>
     <TD width="18%"></TD>
     <TD width="3%"></TD>
     <TD width="18%"></TD>
     <TD width="17%"></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>Valuation Inputs</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" 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>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" 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; TEXT-INDENT: 2px" 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=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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</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></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments in</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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 style="TEXT-INDENT: 2px" align=left><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 colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp; $ 832,243&nbsp;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT> 358,586</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT> 472,121</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,662,950</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=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>68,891,298</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,318,391</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70,209,689</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 style="TEXT-INDENT: 2px" align=left><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 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>207,700,969</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,854,006</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>247,554,975</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=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,117,901</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>684,050</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,801,951</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 style="TEXT-INDENT: 2px" align=left><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>788,199</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>788,199</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitments</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>6,517</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,517</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</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></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>&#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>(75,622)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(75,622)</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>$ 1,620,442</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=4 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$280,068,754&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$ 42,259,463&nbsp;&nbsp;&nbsp;&nbsp; $323,948,659</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>Derivative 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; TEXT-INDENT: 3px" 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>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" 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; TEXT-INDENT: 2px" 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=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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</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></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</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>$ 3,136</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>$ 3,136</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</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></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts.</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>(50,859)</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>(50,859)</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" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (47,723)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#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>$ (47,723)</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivative financial instruments are foreign currency exchange contracts. Foreign</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts are valued at the unrealized appreciation/depreci-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ation on the instrument.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>30 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 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><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="37%"></TD>
     <TD width="16%"></TD>
     <TD width="8%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other</FONT></B>&nbsp;</TD>
     <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded Loan</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>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" 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>Commitments</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets/Liabilities:</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 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance as of August 31, 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 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>$ (49,905)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$57,614,959</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>56,472</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180,488</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>236,960</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(251,699)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,412,512)</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>(12,664,211)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&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>386,822</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,132,006</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>421,201</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19,200)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,920,743</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,405</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,588,375</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>26,608,780</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,748,301)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(62,133,536)</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>(63,881,837)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>467,064</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,660</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,571,704</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>25,070,428</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>&#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>(13,646,359)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#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>(13,646,359)</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 August 31, 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>$ 472,121</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,318,391</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 39,854,006</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 684,050</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (69,105)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$42,259,463</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 the unrealized appreciation/depreciation on the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities still held on August 31, 2010 was $2,917,608.</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 Fund&#146;s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>31</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#004a91 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>August 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="63%"></TD>
     <TD width="7%"></TD>
     <TD width="11%"></TD>
     <TD width="18%"></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>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities &#151; 5.3%</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>Advanta Business Card Master Trust, Series 2007-A5,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A5, 0.77%, 8/20/13 (a)</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>1,244</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,234,909</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Carrington Mortgage Loan Trust, Series 2007-RFC1,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A1, 0.31%, 12/25/36 (a)</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>500,282</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Countrywide Asset-Backed Certificates, Class 2A-1 (a):</FONT>&nbsp;</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>Series 2007-6, 0.36%, 9/25/37</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>297</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>282,469</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-10, 0.31%, 6/25/47</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,023</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,869,065</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Credit Floorplan Master Owner Trust, Series 2006-4,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A, 0.53%, 6/15/13 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,015</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,991,121</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GSAA Trust, Series 2007-3, Class 1A2, 0.43%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/25/47 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,711</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,683,072</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MBNA Credit Card Master Note Trust, Series 2002-A2,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A, 5.60%, 7/17/14</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>17,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,475,240</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>33,036,158</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest Only Asset-Backed Securities &#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>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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/30/30</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>14,298</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>755,090</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>13,085</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,337,097</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,092,187</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; 5.7%</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>35,128,345</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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#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>LyondellBasell Industries NV, Class A</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,708</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>301,514</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LyondellBasell Industries NV, Class B</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>44,142</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>904,470</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,205,984</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#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>SIRVA (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>1,109</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,090</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#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>USI United Subcontractors Common</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>6,116</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125,370</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accuride 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>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>153,308</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#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>Euramax International</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>234</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77,121</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Holdings/EduMedia</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>238,664</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,193,320</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>53,904</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; 0.5%</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>2,820,097</FONT>&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>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=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=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kratos Defense &amp; Security Solutions, Inc., 10.00%, 6/01/17</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,620</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,672,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#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>Air Canada, 9.25%, 8/01/15 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,960,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Airlines, Inc., 10.50%, 10/15/12 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,890</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,008,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Continental Airlines, Inc., 6.75%, 9/15/15 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,350</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>Delta Air Lines, Inc., Series B, 9.75%, 12/17/16 (c)(d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,372</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,440,752</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>2,478</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,762,970</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>9,508,347</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi International Holdings Unsecured, 12.00%, 10/06/14</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>63,320</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown European Holdings SA, 7.13%, 8/15/18 (c)</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>585</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>759,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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,</FONT>&nbsp;</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>7.00%, 2/15/20 (c)(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>1,875</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,865,625</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>749,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,614,688</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE style="WIDTH: 432px; HEIGHT: 1542px" 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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#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>E*Trade Financial Corp., 3.99% 8/31/19 (e)(f)</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>249</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 298,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs Group LP, 5.00%, 10/01/14 (d)</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>3,217,176</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=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>1,007</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,482,609</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 (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>2,381</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>880,970</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)(g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>667</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>59,995</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/15/18 (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>709</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63,851</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>6,003,401</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#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>American Pacific Corp., 9.00%, 2/01/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,087,625</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., 4.53%, 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>2,079,788</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CF Industries, Inc., 6.88%, 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>2,080</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,189,200</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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,280,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>OXEA Finance/Cy SCA, 9.50%, 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>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>574,975</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>8,212,213</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#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>CIT Group, Inc., 7.00%, 5/01/17 (d)</FONT>&nbsp;</TD>
     <TD align=left>&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>6,474,048</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Regions Financial Corp., 4.88%, 4/26/13 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,355</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,367,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Standard Chartered Plc, 3.85%, 4/27/15 (c)(d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,100</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,205,167</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>11,047,115</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#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>ACCO Brands Corp., 10.63%, 3/15/15</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>1,025</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,127,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#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 Credit Co. LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.38%, 2/01/11 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,800</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,850,042</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.28%, 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>553,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.80%, 6/01/12 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,665</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,752,149</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.63%, 8/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>1,321,284</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>6,477,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#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>Ball Corp., 6.75%, 9/15/20</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>880</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>926,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 11/15/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,406,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.50%, 5/15/18 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,245</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,145,400</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>640</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>609,600</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>&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>918,188</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, 3.65%, 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>1,185,975</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>2,020,000</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 style="TEXT-INDENT: 3px" align=left><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>1,570,503</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>1,500,266</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>12,282,132</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 3.4%</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>Ally Financial Inc. (c):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.30%, 2/12/15 (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>3,150</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,276,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 9/15/20</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,270</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,247,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank of America Corp., 4.50%, 4/01/15 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,108,864</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citigroup, Inc., 4.75%, 5/19/15</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>3,090,549</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan Chase &amp; Co., 3.40%, 6/24/15 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,185,814</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%,</FONT>&nbsp;</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>10/15/16 (c)(d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,935</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,957,013</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>20,865,540</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#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>Frontier Communications Corp., 8.25%, 4/15/17 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,085</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,319,887</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ITC Deltacom, Inc., 10.50%, 4/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,350</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,314,750</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>609,000</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 style="TEXT-INDENT: 3px" align=left><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>610</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>621,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 10/01/15 (c)(d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,687,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 7.50%, 2/15/14 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,985</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,040,969</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>687,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TW Telecom Holdings, Inc., 8.00%, 3/01/18</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>630</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>655,200</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, 12.00%, 12/01/15 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>949,500</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>32 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services (concluded)</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>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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.13%, 8/01/13</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>590</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 629,087</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>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>464,625</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>16,979,306</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>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>115,974</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp; Components &#151; 1.2%</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>Agilent Technologies, Inc., 4.45%, 9/14/12 (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>7,325</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,711,445</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 style="TEXT-INDENT: 3px" align=left><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>252,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>416,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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=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>2,337,500</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>3,006,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>Rite Aid Corp., 8.00%, 8/15/20 (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>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>616,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food 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>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>1,099,800</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>1,440</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,607,400</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>2,707,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Gas 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 style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Florida Gas Transmission Co. LLC, 4.00%, 7/15/15 (c)(d)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,077,016</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>Boston Scientific Corp., 4.50%, 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>3,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,048,600</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, 10.88%, 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>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>2,978,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,026,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; 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>American Renal Holdings, 8.38%, 5/15/18 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>330</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>330,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc., 7.25%, 9/15/20</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,115</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,165,175</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.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT 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>864,780</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,517,250</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>9,877,205</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>4,982,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#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>MGM Resorts International, 10.38%, 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>1,135</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,237,150</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/14 (b)(c)(h)</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>274</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>1,237,424</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#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>Beazer Homes USA, Inc., 12.00%, 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>3,800</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,279,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berkline/BenchCraft, LLC, 4.50%, 11/03/12 (b)(c)(h)</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>&#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>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>2,425,000</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>6,704,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>858,562</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, 12.75%, 7/15/14 (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>1,422</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,216,184</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>205,863</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>2,280,609</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 3.2%</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>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>1,179</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,198,159</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/01/16 (c)(d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,225</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,486,250</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>3,870</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,726,821</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 2/01/14 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,285</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,430,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>680</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>685,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.38%, 1/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>1,309,750</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>19,836,780</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 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 style="TEXT-INDENT: 3px" align=left><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>2,950</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,038,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13.50%, 12/01/15 (g)</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>6,104,799</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>9,143,299</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#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>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>1,275,000</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 (e)(g)</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>37,721</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>2,828,250</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=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/14/11 (g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>802</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64,177</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>4,205,148</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 5.9%</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>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>2,895,625</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>1,666,155</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCO Holdings LLC, 7.88%, 4/30/18 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,925</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,027,375</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., 3.64%, 5/15/14 (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>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.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.25%, 12/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>933</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>967,988</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 9.25%, 12/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,732</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,913,935</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 style="TEXT-INDENT: 3px" align=left><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>1,509,812</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>204,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interactive Data Corp., 10.25%, 8/01/18 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,460</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,552,250</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 4/30/14</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>613</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>458,326</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 4/30/14 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>82,245</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><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>3,695</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,879,750</FONT>&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)(h)</FONT>&nbsp;</TD>
     <TD align=left>&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 style="TEXT-INDENT: 3px" align=left><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>926,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.38%, 9/01/14 (d)</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>3,251,525</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>346</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>407,776</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>1,770</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,690,350</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>4,623,750</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</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>1,040,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,382,802</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#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>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>1,970</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,979,850</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>885</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>904,912</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>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>1,235,696</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>4,120,458</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#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>Dollar General Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.63%, 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>1,300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,426,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.88%, 7/15/17 (d)(g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD 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>2,826,700</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>4,253,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#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>BP Capital Markets Plc, 5.25%, 11/07/13 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,227,280</FONT>&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>555,500</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 8/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,315</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,334,725</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>1,185</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,238,325</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, 9.00%, 4/01/15 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>705</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>724,388</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Consol Energy, Inc., 8.25%, 4/01/20 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,591,875</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</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>310</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>320,075</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>971</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,036,542</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>1,264,375</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., 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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75,000</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>14,368,085</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest 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>NewPage Corp., 11.38%, 12/31/14</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>5,600</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,550,000</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>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><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<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 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>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 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><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>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>$ 363,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>ProLogis, 5.75%, 4/01/16</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>1,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,461,951</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#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>National Semiconductor Corp., 6.15%, 6/15/12 (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>3,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,204,783</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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., 8.59%, 2/15/12 (a)(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>622</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,437</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>Sonic Automotive, Inc., Series B, 8.63%, 8/15/13</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>583</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>591,745</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Phillips-Van Heusen Corp., 7.38%, 5/15/20</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>840</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>865,200</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>&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>1,304,250</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>2,169,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Tobacco &#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>Reynolds American, Inc., 7.63%, 6/01/16 (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>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>2,933,380</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#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>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 style="TEXT-INDENT: 3px" align=left><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>251,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 5/15/16 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,323,125</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 style="TEXT-INDENT: 3px" align=left><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>720</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>725,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.13%, 1/15/15 (g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,267</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,278,335</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 9/01/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>623,250</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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nextel Communications, Inc., Series E, 6.88%, 10/31/13</FONT>&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>1,172,062</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sprint Capital Corp., 8.38%, 3/15/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>978,188</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,632,560</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; 42.2%</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>261,186,563</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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#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>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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Linked Deposit, 0.43%, 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>184</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>146,335</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.26% &#150; 2.53%, 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>3,080</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,454,036</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,600,371</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>Affinion Group Holdings, Inc., Term Loan, 8.51%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/01/12 (g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,138</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,092,471</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group, Inc., Tranche B Term Loan, 5.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/09/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,496</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,439,512</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allison Transmission, Inc., Term Loan, 3.04%, 8/07/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,889</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,583,494</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B U.S. Term Loan, 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>311</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>303,303</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C U.S. Term Loan, 12.50%, 11/13/14 (g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,399</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>6,459,179</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Automobiles &#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 Co.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 3.03%, 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>4,531</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,358,079</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 3.03%, 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>512</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>490,832</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>4,848,911</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>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 style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/01/11 (b)(h)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT 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>370,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 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>1,329</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,334,040</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 2.88%, 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>2,540</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,950,315</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE style="WIDTH: 433px; HEIGHT: 1656px" 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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products (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>United Subcontractors, Term Loan (First Lien), 2.04%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/30/15 (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>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>$ 123,267</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>4,407,622</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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, 5.31% &#150;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.56%, 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>377</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>261,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nuveen Investments, Inc., Term Loan (First Lien), 3.48% &#150;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.53%, 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>1,199,912</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>1,461,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 3.6%</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>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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility 3A (Second Lien), 6.94%, 7/17/15</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>115</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>144,729</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility 3B (Second Lien), 6.94%, 7/17/15</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>20,195</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B2 (Second Lien), 6.94%, 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>495,833</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B6A, 4.70%, 1/20/14</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>233</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>293,773</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B6B, 4.70%, 1/20/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>181</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>227,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CF Industries, Inc., Term Loan B-1, 4.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/05/15</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>1,899</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,908,732</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chemtura Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Debtor in Possession Term Facility, 6.00%, 2/11/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,550</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,546,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Exit Term Loan, 0.00%, 8/16/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,305,417</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cognis GmbH (French):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility A 2.72%, 11/17/13</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>803</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000,868</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B 2.72%, 11/16/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>197</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>245,110</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 style="TEXT-INDENT: 1px" align=left><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>634</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>633,635</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, 2.02%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>1,225</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,157,999</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ineos Group Plc, US Finance LLC Senior Credit Facility</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A2, 7.00%, 12/17/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>61</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>61,310</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MacDermid, Inc., Tranche C Term Loan, 2.27%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/12/14</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>498</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>574,274</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>2,024</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,030,997</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.), Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 3.52% &#150; 3.73%, 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>3,370</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,081,444</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,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 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>1,621</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,620,340</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solutia, Inc., Term Loan, 4.75%, 3/17/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,785</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,783,294</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:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 11.25%, 9/20/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,271</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,297,755</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 11.25%, 9/20/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>885,964</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>22,315,232</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#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>CIT Group, Inc., Tranche 3 Term Loan, 6.25%, 8/11/15</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>1,900</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,893,806</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#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>AWAS Finance Luxembourg Sarl, 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/10/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,650</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,665,457</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Altegrity, Inc., Incremental Term Loan, 7.75%, 2/21/15</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>3,985,000</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 Loan B, 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 style="TEXT-INDENT: 1px" align=left><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>629</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>631,793</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,454</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,461,722</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International Lease Finance Corp., Term Loan 1,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 3/17/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,040</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,064,455</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Quad Graphics, Term Loan, 5.50%, 4/20/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,375</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,311,750</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/12/15 (g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>290</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72,379</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.27% &#150; 2.28%, 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>1,288</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,088,071</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 Loan B-3, 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 style="TEXT-INDENT: 1px" align=left><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>1,797</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,790,602</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>16,071,229</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safway Services, LLC, First Out Tranche 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 style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/18/17</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></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>34 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 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_36"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#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>Fairmount Minerals Ltd., Term Loan B, 6.25%, 8/05/16</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>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>$ 975,407</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>AGFS Funding Co., Term Loan, 7.25%, 4/21/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,669,844</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Daimler Chrysler Financial Services Americas LLC, Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Second Lien), 6.78%, 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>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>2,651,778</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>9,321,622</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BWAY Holdings Co., Term Loan B, 5.50% &#150; 6.00%, 6/16/17</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>594</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>593,543</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ICL Industrial Containers ULC/ICL Contenants Industriels</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ULC (FKA BWAY), Term Loan C, 5.50% &#150; 6.00%, 6/16/17</FONT>&nbsp;</TD>
     <TD 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>55,680</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>649,223</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer 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>Coinmach Service Corp., Term Loan, 3.35%, 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>4,643</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,047,991</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Laureate Education, Series A New 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>4,646</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,567,981</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ServiceMaster Co.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Loan, 2.77% &#150; 3.04%, 7/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,315</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,046,795</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.77%, 7/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>303,415</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>11,966,182</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial 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 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 3.02%, 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>508</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>406,110</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.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Incremental US Term Loan, 6.25%, 5/05/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,269,543</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan, 6.25%, 5/05/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>841</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>836,833</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,512,486</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication 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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cincinnati Bell Inc., Tranche B Term Loan, 6.50%, 6/11/17</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,893</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,871,054</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.75%, 5/30/14 (g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,959</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,371,192</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,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.53% &#150; 2.78%, 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>2,750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,463,398</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, Term Loan 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.14%, 9/22/12</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>2,067</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,541,646</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>9,247,290</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric 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>New Development Holdings LLC, 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/03/17</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>4,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,545,000</FONT>&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 style="TEXT-INDENT: 3px" align=left><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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.43%, 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>151</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>141,197</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Revolving Deposit, 0.43%, 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>44,262</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 2.53%, 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>376</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>352,652</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,083,111</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp; Components &#151; 1.6%</FONT></B>&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>CDW LLC (FKA CDW Corp.), Term Loan, 4.28%, 10/10/14</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,793</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,501,185</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutche Group SAS (FKA Matinvest 2 SAS):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B-2, 3.91%, 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>33</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,253</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C-2, 4.16%, 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>110</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>93,541</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Group SAS (FKA Matinvest 2 SAS)/Butterfly</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wendel US, Inc. (Deutsche Connector):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B-2, 3.91%, 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>445</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>378,594</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C-2, 4.16%, 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>719</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>612,331</FONT>&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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Loan A, 2.53% &#150; 2.56%, 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>1,184</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,108,407</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Loan B, 2.56%, 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>3,681</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,544,363</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Styron Sarl, Term Loan, 7.50%, 6/17/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,900</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,914,839</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>10,181,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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; TEXT-INDENT: 1px" align=left><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>2,712</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,705,226</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#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>Pierre Foods, Term Loan, 7.00%, 3/03/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,594</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,589,475</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 LLC, Initial Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 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>3,020</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,023,279</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left></TD>
     <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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,612,754</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dole Food Co., Inc., 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00% &#150; 5.50%, 3/02/17</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>127</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 127,565</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, 5.53%, 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>2,035</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,014,650</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 D Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 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>1,806</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,807,757</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-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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00% &#150; 5.50%, 3/02/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>312</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>312,062</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>4,262,034</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; 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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ardent Medical Services, Inc., Term Loan, 6.50%, 9/15/15</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>1,291</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.55%, 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>258,620</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan Facility, 2.55%, 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>5,350</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,044,382</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A-1 Term Loan, 2.03%, 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>2,361</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,271,652</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 2.78%, 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>340</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>327,248</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harden Healthcare LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Add-on Term Loan 7.75%, 3/02/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,200</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,116,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan 8.50%, 2/22/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>694</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>679,764</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>inVentiv Health, Inc. (FKA Ventive Health Inc.),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 6.50%, 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>2,950</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,944,469</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Renal Advantage 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 6/03/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400,000</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 (Vanguard Health</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Systems, Inc.), Initial Term Loan, 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>1,431</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,413,677</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>18,457,103</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#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>IMS Health, Inc., Tranche B Dollar Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 2/26/16</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>2,606</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,610,606</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Priority Term Loan, 4.75%, 7/18/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,471</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,779,303</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 3.50%, 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>383,817</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 3.50% &#150; 3.53%, 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>4,046</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,457,043</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-4, 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>1,244</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,269,317</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 RC Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.36% &#150; 2.88%, 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>28,446</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, 2.01% &#150;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.24%, 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>2,758,131</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>3,807</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,810,880</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., Tranche B Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 6.00%, 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>4,838</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,781,729</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, 8.37%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/27/12 (g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,026</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,674,156</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 Partners, Ltd. Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 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>3,731</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,749,906</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 (FKA Venetian Macau):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Delayed Draw Project Loan, 5.04%, 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>1,568</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,540,510</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Funded Project Loan, 5.04%, 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>2,714</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,658,515</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>30,891,753</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/03/11 (b)(g)(h)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT 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>6,274</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#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>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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B3 Facility, 4.15%, 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>376,283</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B4 Facility, 4.15%, 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>119</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>145,608</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term C3 Facility, 4.65%, 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>307</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>376,283</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term C4 Facility, 4.65%, 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>118</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143,673</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, 3.26%, 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>1,373</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,221,751</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,225</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,197,437</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan, 3.01%, 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>2,694</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,299,510</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.01%, 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>1,206</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,028,260</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>35</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_37"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT 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 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 style="TEXT-INDENT: 1px" align=left><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><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>1,434</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,432,240</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransUnion LLC, Term Loan, 6.75%, 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>6,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,054,378</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 3.02%, 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>712</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>651,605</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 3.52%, 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>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>651,605</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>15,578,633</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#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>Texas Competitive Electric Holdings Co., LLC (TXU):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.79% &#150; 4.07%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT 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>267</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>202,568</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.79% &#150; 4.03%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT 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>2,705</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,038,746</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>2,241,314</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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, 3.79%, 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>2,325</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,139,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>Oshkosh Truck Corp., Term Loan B, 6.44% &#150; 6.54%,</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; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/06/13</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>656</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>659,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 7.1%</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>Atlantic Broadband Finance, LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-A Term Loan, 2.79%, 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>34</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,327</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-B Term Loan, 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>925</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>909,085</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 style="TEXT-INDENT: 1px" align=left><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>4,073</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,059,394</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:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Term Loan, 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>764</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>722,902</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 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>2,321</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,370,365</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 3.79%, 9/06/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,201</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,930,871</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clarke American Corp., Term Loan B, 2.76%, 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>1,454</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,253,855</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>1,839</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,769,123</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.94%, 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>400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>257,500</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., Tranche A Term Loan, 5.79%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/12/14 (g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,267</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,974,979</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, Term Loan, 2.56% &#150; 2.63%, 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>2,700</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,167,668</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interactive Data Corp., Term Loan, 6.75%, 1/29/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,550</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,559,041</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B-1, 3.52%, 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>322,477</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C-1, 3.77%, 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>322,477</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility D, 4.89%, 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>731,962</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 6.89%, 3/01/13 (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>2,004</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,703,131</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 Communications,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC), Tranche D Term Loan, 5.50%, 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>993</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>972,327</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>4,780,931</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., Term Loan (First Lien), 5.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/01/14 (g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,092</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>753,761</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/26/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>646</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>646,395</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 style="TEXT-INDENT: 1px" align=left><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>1,300</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,629,579</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 5.68%, 6/01/12</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>1,997</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,862,343</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TWCC Holdings Corp. Replacement Term Loans, 5.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/14/15</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>2,005</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,002,059</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, 4.64%, 12/31/17 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>2,161,542</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., Facility B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.78%, 12/31/15</FONT>&nbsp;</TD>
     <TD align=center><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>1,115,016</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/Yell Finance (UK) Ltd., Facility A3,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.60%, 4/30/14</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>842</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>812,365</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, Facility B-1 YB (USA) LLC, 4.01%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,053,898</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>43,879,373</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE style="WIDTH: 519px; HEIGHT: 1474px" 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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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; TEXT-INDENT: 5px" 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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#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>Drummond Co., Inc., Term Advance, 1.51%, 2/14/11</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>525</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 509,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-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>FirstLight Power Resources, Inc. (FKA NE Energy, Inc.):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 0.41%, 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>13</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,479</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Advance (First Lien), 3.06%, 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>800</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>742,348</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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 0.28%, 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>64,156</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>818,983</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>Hema Holding BV:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B, 2.65%, 7/06/15</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>344</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>413,023</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C, 3.40%, 7/05/16</FONT>&nbsp;</TD>
     <TD align=left>&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>413,023</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility D, 5.65%, 1/01/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,600</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,047,737</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, 2.30%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT 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>810</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>767,344</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>4,641,127</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#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>Big West Oil, LLC, Term Loan, 12.00%, 7/23/15</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>2,277,187</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, 2.50% &#150; 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/15/18 (g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,166</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,508,953</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>4,786,140</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.30% &#150; 2.53%, 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>3,120</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,074,439</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 2.30% &#150; 2.53%, 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>1,613</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,589,185</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, 6.69% &#150; 7.44%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/01/13 (g)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>642</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>385,085</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>5,048,709</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Personal Products &#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>American Safety Razor Co., LLC, Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 7/31/13</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>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>143,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#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>Warner Chilcott Co., LLC, Term Loan A, 6.00%, 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>591</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>589,816</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.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Additional Term Loan, 6.25%, 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>1,087</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,085,440</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 6.25%, 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>187</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>187,078</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 6.25%, 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>316</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>315,542</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 6.50%, 2/20/16</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>784,091</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-4, 6.50%, 2/20/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>254</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>254,417</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,216,384</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Booz Allen Hamilton, Inc., Tranche C 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; TEXT-INDENT: 1px" align=left><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=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,493</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,492,127</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#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>Enclave, Term Loan B, 6.14%, 3/01/12 (c)(h)</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>&#151;</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, Term Loan (Second Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.50%, 8/31/11 (b)(h)</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan B, 3.30% &#150; 3.53%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>7,093</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,120,566</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan B, 3.30%, 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>1,998</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,724,245</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 0.11%, 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>343</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>295,578</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility (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>2,373,750</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>10,551,639</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#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>Freescale Semiconductor, Inc., Extended Maturity</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; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.56%, 12/01/16</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,070</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>956,814</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#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>Bankruptcy Management Solutions, Inc., Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 4.27%, 7/31/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>935</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>589,207</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>36 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 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><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="62%"></TD>
     <TD width="9%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software (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>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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Multi-Draw Term Loan, 3.26%, 6/30/13</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>230</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 206,988</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.26%, 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>912</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>820,800</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>1,616,995</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>Michaels Stores, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 2.63% &#150; 2.81%, 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>2,170</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,046,329</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 4.88% &#150; 5.06%, 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>500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>482,419</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>OSH Properties LLC (Orchard Supply), B-Note, 2.73%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/09/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,455,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Toys &#145;R&#146; US, Inc., Term Loan B, 6.00%, 8/17/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,296,742</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>5,280,640</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#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>Phillips Van Heusen Corp., US 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; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 5/06/16</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>1,457</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,465,374</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trading Companies &amp; Distributors &#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>Beacon Sales Acquisition, Inc., Term Loan B, 2.26% &#150;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.53%, 9/30/13</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT 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>117,291</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cavtel Holdings, LLC, Term Loan, 10.50%, 12/31/12 (g)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,131</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,069,167</FONT>&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., US Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Non-Rollover), 3.06%, 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>3,607</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,521,723</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vodafone Americas Finance 2 Inc., Initial Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 7/30/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,750</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,750,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,340,890</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; 48.1%</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>298,144,467</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>
     <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>Peru Government International Bond, 8.38%, 5/03/16 (d)</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>6,088,750</FONT>&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>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>5,869,683</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=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,958,433</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>Taxable Municipal Bonds</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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>State &#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>State of California, GO:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Taxable, Various Purpose 3, Mandatory Put Bonds,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.65%, 4/01/39 (a)</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>660,113</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Various Purpose 3, 5.25%, 4/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,075</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,130,405</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>State of Illinois, GO, 3.32%, 1/01/13</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>5,075</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,054,649</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 Municipal Bonds &#151; 1.1%</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>6,845,167</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>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Collateralized Mortgage Obligations &#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>Adjustable Rate Mortgage Trust, Series 2007-1,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class 3A21, 5.97%, 3/25/37 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,913</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,579,340</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Countrywide Alternative Loan Trust, Series 2005-54CB,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class 3A4, 5.50%, 11/25/35</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,647</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,190,239</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Countrywide Home Loan Mortgage Pass-Through Trust:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2005-17, Class 1A6, 5.50%, 9/25/35</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,857</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,503,754</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2006-17, Class A2, 6.00%, 12/25/36</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,085</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,456,174</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-16, Class A1, 6.50%, 10/25/37</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,690</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,414,243</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-HY5, Class 3A1, 6.02%, 9/25/37 (a)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,981</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,308,204</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.49%, 10/25/35 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,019</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,314,869</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Morgan Stanley Reremic Trust, Series 2010-R4,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class 4A, 0.49%, 2/26/37 (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>4,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,770,000</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE style="WIDTH: 439px; HEIGHT: 1308px" border=0 cellSpacing=0>
<TR>
     <TD width="65%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></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>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Collateralized Mortgage Obligations (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>Mound Financing Plc, Series 4X, Class 3A, 1.02%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/08/32 (a)</FONT></TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 1px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,250&nbsp; </FONT></TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT> 1,578,466</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>WaMu Mortgage Pass-Through Certificates, Series</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2006-AR14, Class 1A1, 5.52%, 11/25/36 (a)</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>2,020</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,790,035</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wells Fargo Mortgage-Backed Securities Trust, Series</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2005-AR2, Class 2A1, 2.88%, 3/25/35 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,845</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,569,147</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>35,474,471</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Mortgage-Backed Securities &#151; 7.5%</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>Banc of America Commercial Mortgage, Inc. (a):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-2, Class A2, 5.63%, 4/10/49</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,683</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,931,046</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-3, Class A2, 5.84%, 6/10/49</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,975</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,117,717</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-4, Class A4, 5.84%, 2/10/51</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,150</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,292,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citigroup/Deutsche Bank Commercial Mortgage Trust,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-CD4, Class A2B, 5.21%, 12/11/49</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,235</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,366,559</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse Mortgage Capital Certificates, Class A2 (a):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-C2, 5.45%, 1/15/49</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,835</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,881,385</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-C3, 5.91%, 6/15/39</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,150</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,297,704</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Greenwich Capital Commercial Funding Corp., Series</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007-GG9, Class A4, 5.44%, 3/10/39</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,110</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,209,982</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan Chase Commercial Mortgage Securities Corp.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A4:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-CB18, 5.44%, 6/12/47</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,110</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,208,953</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2007-CB19, 5.94%, 2/12/49 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,140</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,244,372</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Morgan Stanley Capital I, Series 2007-IQ15, Class A2,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.04%, 6/11/49 (a)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,007</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,119,103</FONT>&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, Series</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007-C33, Class A2, 6.05%, 2/15/51 (a)(i)</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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,666,293</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>46,335,964</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; 13.2%</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>81,810,435</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 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 colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;&nbsp;&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 (j)</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;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#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>Dayco Products LLC Mark IV Industrials, Inc.</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>534,318</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>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B Membership 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;(k)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,235,788</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=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>12,500</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>6,782,606</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>
     <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 (l)</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>1,308,236</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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>
     <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=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</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=#004a91 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 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=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>
     <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 3px double" 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 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>8,092,367</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>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=center><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=#004a91 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. (b)(c)(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>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=#004a91 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. (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>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>266,770</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 Preferred Stocks &#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>266,770</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>37</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_39"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B><BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="63%"></TD>
     <TD width="17%"></TD>
     <TD width="19%"></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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>
     <TD align=center>&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=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=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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest Only Collateralized Mortgage Obligations &#151; 0.3%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ginnie Mae Mortgage-Backed Securities, Series</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2008-7, Class SA, 3.14%, 2/20/38 (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 19,538</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,016,073</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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Mortgage-Backed Securities &#151; 8.9%</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>Fannie Mae Mortgage-Backed Securities:</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>4.00%, 9/15/40 (n)</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>2,485,126</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 7/01/37 &#150; 3/01/38</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,045</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,013,266</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Freddie Mac Mortgage-Backed Securities, 4.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/01/25 (d)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,799</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,348,651</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=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>54,847,043</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></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; 9.2%</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>56,863,116</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></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, 1.75%, 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>875</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>893,323</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; 0.2%</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>893,323</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 (o)</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>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=#004a91 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></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=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=#004a91 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></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CMP Susquehanna Radio Holdings Corp.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Expires 3/26/19)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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=#004a91 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>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 align=left><B><FONT color=#004a91 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></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>HMH Holdings/EduMedia (Expires 3/09/17)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>209,988</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#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>&#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></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; $773,073,429) &#151; 123.4%</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>764,009,083</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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Exchange-Traded Put 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>Eurodollar 1-Year Mid-Curve Options,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Strike Price USD 97.25, expires 9/10/10,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Citibank NA</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>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>794</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#004a91 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 style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Strike Price USD 942.86, expires 12/21/19,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><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>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>&#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 Options Purchased</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; $66,003) &#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>794</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; $773,139,432*) &#151; 123.4%</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>764,009,877</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; (23.4)%</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>(144,628,707)</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>$619,381,170</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The cost and unrealized appreciation (depreciation) of investments as of August 31,</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2010, as computed for federal income tax purposes, were as follows:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="57%"></TD>
     <TD width="42%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 770,558,928</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24,787,132</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(31,336,183)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (6,549,051)</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a) Variable rate security. Rate shown is as of report date.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Non-income producing security.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Security or a portion of security held as collateral for reverse repurchase</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreements.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Convertible security.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Represents a zero-coupon bond. Rate shown reflects the current yield as of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>report date.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Represents a payment-in-kind security, which may pay interest/dividends in</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional face/shares.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) Issuer filed for bankruptcy and/or is in default of interest payments.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) All or a portion of security has been pledged as collateral in connection with the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TALF Program.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(j) Other interests represent beneficial interest in liquidation trusts and other reorgani-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>zation entities and are non-income producing.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(k) Amount is less than $1,000.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(l) The investment is held by a wholly owned taxable subsidiary of the Fund.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(m) Security is perpetual in nature and has no stated maturity date.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(n) Represents or includes a to-be-announced (&#147;TBA&#148;) transaction. Unsettled TBA</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transactions as of report date were as follows:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="42%"></TD>
     <TD width="38%"></TD>
     <TD width="19%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs &amp; Co.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,485,126</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 40,126</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(o) Warrants entitle the Fund to purchase a predetermined number of shares of com-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mon stock and are non-income producing. The purchase price and number of</FONT><BR>
<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><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if any.</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="2%"></TD>
     <TD width="12%"></TD>
     <TD width="18%"></TD>
     <TD width="11%"></TD>
     <TD width="5%"></TD>
     <TD width="12%"></TD>
     <TD width="18%"></TD>
     <TD width="1%"></TD>
     <TD width="6%"></TD>
     <TD width="9%"></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>Investments in companies considered to be an affiliate of the Fund during the year,</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as</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=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amended, 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>
     <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>Shares Held at</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>Net</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</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>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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" colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31, 2009</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;August 31, 2010</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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>Income</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>BlackRock Liquidity</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <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="TEXT-INDENT: 2px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>
     <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; TEXT-INDENT: 2px" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;96,671,566</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>(96,671,566)</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 10px" 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" colSpan=3 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 52,896</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 style="BORDER-BOTTOM: #000000 1px solid" colSpan=9 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts purchased as of August 31, 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=center>&nbsp;</TD>
     <TD colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 1px" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;Notional</FONT></B>&nbsp;</TD>
     <TD colSpan=3 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp; Appreciation</FONT></B>&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>Contracts</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>Issue</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>Exchange</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=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" colSpan=3 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp; (Depreciation)</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>76</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5-Year U.S.</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</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;&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=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Bond</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2010</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9,148,941</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (4,597)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Eurodollar</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&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" colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mercantile</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" colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,707,844</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;9,956</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 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>$ 5,359</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>38 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 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_40"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B></P>
<P style="TEXT-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>Financial futures contracts sold as of August 31, 2010 were as follows:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="3%"></TD>
     <TD width="7%"></TD>
     <TD width="7%"></TD>
     <TD width="5%"></TD>
     <TD width="2%"></TD>
     <TD width="8%"></TD>
     <TD width="1%"></TD>
     <TD width="14%"></TD>
     <TD width="13%"></TD>
     <TD width="4%"></TD>
     <TD width="3%"></TD>
     <TD width="11%"></TD>
     <TD width="4%"></TD>
     <TD width="13%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Notional&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</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>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" colSpan=3 align=left><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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Exchange</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>Date</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>Value</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 style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13</FONT>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Eurodollar</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>September</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=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>Mercantile</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2010</FONT>&nbsp;</TD>
     <TD colSpan=3 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,226,211</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (13,633)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>80</FONT>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2-Year U.S.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <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; Chicago Board&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=left>&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>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Treasury Bond</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2010</FONT>&nbsp;</TD>
     <TD colSpan=3 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$17,541,118</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(13,882)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13</FONT>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Eurodollar</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>December</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mercantile</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2010</FONT>&nbsp;</TD>
     <TD colSpan=3 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,221,410</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(15,103)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13</FONT>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Eurodollar</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&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>Mercantile</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>
     <TD colSpan=3 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,216,985</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(17,578)</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>3</FONT>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Eurodollar</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&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>Mercantile</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>
     <TD colSpan=3 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 740,728</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,072)</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>9</FONT>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Eurodollar</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>September</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&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>Mercantile</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>
     <TD colSpan=3 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,216,485</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(18,440)</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>9</FONT>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Eurodollar</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>December</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&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>Mercantile</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>
     <TD colSpan=3 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,210,985</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(20,565)</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>9</FONT>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Eurodollar</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&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>Mercantile</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2012</FONT>&nbsp;</TD>
     <TD colSpan=3 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,205,998</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,952)</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>2</FONT>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Eurodollar</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&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>Mercantile</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2012</FONT>&nbsp;</TD>
     <TD colSpan=3 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 489,319</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,906)</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>6</FONT>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Eurodollar</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>September</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&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>Mercantile</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2012</FONT>&nbsp;</TD>
     <TD colSpan=3 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,462,757</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(17,443)</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>6</FONT>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Eurodollar</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>December</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&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>Mercantile</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2012</FONT>&nbsp;</TD>
     <TD colSpan=3 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,459,007</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(18,418)</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>6</FONT>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Eurodollar</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&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" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px 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>Mercantile</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>2013</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>$ 1,455,919</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19,181)</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 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" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (186,173)</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 style="BORDER-BOTTOM: #000000 1px solid" colSpan=13 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of August 31, 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=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <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>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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=left>&nbsp;</TD>
     <TD colSpan=3 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 1px" colSpan=4 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Settlement&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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=left>&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>Sold</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>Counterparty</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>Date</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)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</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>EUR&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20,628,300</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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; USD&nbsp;&nbsp;&nbsp;&nbsp;26,577,182</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/15/10</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ (436,521)</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 colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300,200</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp; </FONT></TD>
     <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp; 1,704,557&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank AG</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/15/10</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(56,914)</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>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74,288,264&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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; 58,768,000</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/15/10</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(183,911)</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=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>749,853</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR&nbsp; </FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>581,500&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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank AG</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/15/10</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,963</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>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,582,988</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP&nbsp; </FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp; 4,967,500</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>Citibank NA</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10/20/10</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(32,762)</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 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" colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$ (697,145)</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=13 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on single-name issuers &#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=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>August 31, 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>
     <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 colSpan=2 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 colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&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 colSpan=2 align=right><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=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><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>Unrealized</FONT></B>&nbsp;&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=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>Rate</FONT></B>&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>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;Expiration</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" colSpan=2 align=left><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>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>K. Hovnanian</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%</FONT>&nbsp;</TD>
     <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&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; December&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; USD 800</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 47,572&nbsp;&nbsp;&nbsp;&nbsp;</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>Enterprises, Inc.</FONT>&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>2011</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=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>K. Hovnanian</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%</FONT>&nbsp;</TD>
     <TD colSpan=4 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;September</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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>USD 300</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,429&nbsp;&nbsp;&nbsp;&nbsp;</FONT>&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>Enterprises, 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=center><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=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=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&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><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 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" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 73,001</FONT>&nbsp;&nbsp;&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=13 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reverse repurchase agreements outstanding as of August 31, 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 colSpan=3 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Trade&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</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 colSpan=3 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; Net Closing</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 1px" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Face</FONT></B>&nbsp;&nbsp;&nbsp;&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>Counterparty</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=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" 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; TEXT-INDENT: 2px" 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=center>&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>Amount</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center>&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;&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>RBS Securities 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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.50%</FONT></TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/28/10</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 3px" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD colSpan=4 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,098,594&nbsp;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,097,250</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>RBS Securities 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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.50%</FONT></TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/30/10</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 3px" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,261,669</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,260,150</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>Credit Suisse</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</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>0.60%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/25/10</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 3px" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,652,439</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,648,926</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>Credit Suisse</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</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>0.60%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/4/10</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 3px" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,420,292</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,418,189</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>Credit Suisse</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</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>0.60%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/4/10</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 3px" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,503,709</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500,000</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>Credit Suisse</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</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>0.60%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/4/10</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 3px" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,018,988</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,014,516</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-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>Reverse repurchase agreements outstanding as of August 31, 2010 were as follows</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(concluded):</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="21%"></TD>
     <TD width="12%"></TD>
     <TD width="13%"></TD>
     <TD width="13%"></TD>
     <TD width="19%"></TD>
     <TD width="19%"></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>Interest</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trade</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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Closing</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Face</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>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>Rate</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; TEXT-INDENT: 1px" 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; TEXT-INDENT: 3px" align=center><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; TEXT-INDENT: 3px" align=center><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>Credit Suisse</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/4/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,465,318</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,457,223</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.45%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/4/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,907,231</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,904,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.45%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/4/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,915,108</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,911,869</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/10/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,292,542</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,289,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/10/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,699,729</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,696,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/11/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,754,891</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,751,131</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/14/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,493,354</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,490,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/14/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,936,546</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,934,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/14/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,476,256</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,473,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/14/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,448,905</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,447,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.45%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/29/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,711,691</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,707,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.45%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/29/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,994,857</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,992,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.45%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/29/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,912,854</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,910,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/14/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,881,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,878,844</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.45%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,501,028</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,498,140</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/22/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,662,135</FONT>&nbsp;</TD>
     <TD 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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/26/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,536,852</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,532,824</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/09/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,969,356</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,968,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/09/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,464,824</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,463,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNP Paribas</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.25%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/12/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/14/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,035,838</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,035,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.27%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/13/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/14/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,025,001</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,024,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.27%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/24/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/14/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,046,483</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,046,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.28%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/27/10</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/14/10</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,524,137</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,524,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital 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>0.40%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/31/10</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,013,567</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,013,500</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 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$110,625,694</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$110,548,075</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-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>For Fund compliance purposes, the Fund&#146;s industry classifications refer to any one</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or rating group indexes, and/or as defined by Fund management.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>This definition may not apply for purposes of this report, which may combine such</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>industry sub-classifications for reporting ease.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>39</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust (BLW)</FONT></B></P>
<P style="TEXT-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 and derivatives, 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 in active 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>Fund&#146;s own assumptions used in determining the fair value of investments and</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>derivatives)</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 Fund&#146;s policy regarding valuation of investments and derivatives and other signif-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>icant accounting policies, please refer to Note 1 of the Notes to Financial</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of August 31, 2010 in determin-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing the fair valuation of the Fund&#146;s investments and derivatives:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="21%"></TD>
     <TD width="4%"></TD>
     <TD width="11%"></TD>
     <TD width="3%"></TD>
     <TD width="19%"></TD>
     <TD width="19%"></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>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=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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</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 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>Investments in Securities:</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>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>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><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>
     <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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</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>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 33,036,158</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,092,187</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 35,128,345</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=3 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,205,984</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>366,889</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,247,224</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,820,097</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=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>257,773,782</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,412,781</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>261,186,563</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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><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>.</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>235,983,573</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,160,894</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>298,144,467</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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Obligations</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>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,958,433</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>11,958,433</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Taxable Municipal 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>6,845,167</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>6,845,167</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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</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>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>78,040,435</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,770,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>81,810,435</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=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>6,235,788</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,856,579</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,092,367</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=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>266,770</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>266,770</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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</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>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56,863,116</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>56,863,116</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Treasury Obligations</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>893,323</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>893,323</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</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 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TALF Loan</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>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,685,079)</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>(12,685,079)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitments</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>&#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>(173,683)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(173,683)</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=3 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,205,984</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$675,311,585</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 74,632,752</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$751,150,321</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE style="WIDTH: 467px; HEIGHT: 448px" border=0 cellSpacing=0>
<TR>
     <TD width="21%"></TD>
     <TD width="21%"></TD>
     <TD width="22%"></TD>
     <TD width="11%"></TD>
     <TD width="8%"></TD>
     <TD width="14%"></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>Derivative 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; TEXT-INDENT: 3px" 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=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=center>&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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</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></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>$ 12,963</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;&nbsp;</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12,963</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest 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 style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10,750</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=left><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>10,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit 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>73,001</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><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>73,001</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</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></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>(710,108)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><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>(710,108)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest 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 style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(190,770)</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><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>(190,770)</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>$ (180,020)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (624,144)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;&nbsp;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (804,164)</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivative financial instruments are swaps, financial futures contracts, foreign</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts and options. Swaps, financial futures contracts and</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>foreign currency exchange contracts are valued at the unrealized appreciation/</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depreciation on the instrument and options are shown at value.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="19%"></TD>
     <TD width="10%"></TD>
     <TD width="8%"></TD>
     <TD width="9%"></TD>
     <TD width="10%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="7%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></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>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Non-Agency</FONT></B>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded</FONT></B>&nbsp;</TD>
     <TD align=center>&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>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 style="TEXT-INDENT: 1px" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate</FONT></B>&nbsp;</TD>
     <TD colSpan=3 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate&nbsp;&nbsp;&nbsp;&nbsp; Mortgage-Backed&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other</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>Preferred</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan</FONT></B>&nbsp;</TD>
     <TD align=center>&nbsp;</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>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=center><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>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>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>Commitments</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets/Liabilities:</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 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>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>&#151;</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>$ 63,812</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 93,499,681</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>886,751</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>886,751</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(165)</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>(1,222,602)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(14,975,731)</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>(16,198,498)</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</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>(575,860)</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>6,374,382</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,554,093</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>805,393</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>(237,495)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,920,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <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>294,731</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35,149,956</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>35,444,687</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <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>(7,151,809)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(89,156,758)</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>(96,308,567)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</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>1,247,224</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63,320</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,019,134</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$3,770,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>546,818</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 266,770</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>47,913,266</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>&#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>(81,956)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,216,184)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(27,226,941)</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>(28,525,081)</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 August 31, 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>$ 2,092,187</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,247,224</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,412,781</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 62,160,894</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$3,770,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,856,579</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 266,770</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (173,683)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 74,632,752</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 the unrealized appreciation/depreciation on the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities still held on August 31, 2010 was $12,847,016.</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 Fund&#146;s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>40 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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     <TD width="48%"></TD>
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     <TD align=left><FONT color=#004a91 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=center>&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=center>&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=center><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>August 31, 2010</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>$ 147,396,270</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 160,736,123</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 323,229,565</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 764,009,877</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>1,172,197</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,822,139</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>788,199</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>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>19,857</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,629</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,136</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,963</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>3,688</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,118</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,517</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><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>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73,001</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>19,910</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33,052</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,324</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,008</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>180,154</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 for 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>70,000</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>5,569,574</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,326,983</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,754,890</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,124,246</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>1,131,735</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,512,683</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,030,924</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,559,224</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>6,259</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,062</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,006</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,902</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>2,192</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,834</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,454</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,785</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>3,973</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>91,929</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends 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>588</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>1,840</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>121,500</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>15,725</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reverse repurchase agreements 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>6,013,500</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>51,758</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87,589</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,819</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>126,609</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>535,014</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>229,558</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>999,344</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>155,500,049</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>169,054,200</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>337,367,316</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800,222,411</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>3,179,743</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>24,000,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,000,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,000,000</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TALF loan at value</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#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>12,685,079</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>50,431</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,778</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75,622</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>173,683</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>20,335</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,968</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,859</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>710,108</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>21,480</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>Reverse repurchase agreements</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>110,548,075</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 &#151; unaffiliated</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,759,868</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,234,338</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,300,306</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,424,519</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 &#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>1,807,884</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>123,661</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100,855</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200,996</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>343,956</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deferred income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>70,954</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>78,162</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77,040</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>311,327</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>1,000</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>11,000</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>92,557</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>106,034</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>51,348</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>60,832</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>114,152</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>97,771</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>289</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>699</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>157,133</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>492</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>2,242</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>239,947</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>78,341</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143,671</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>262,963</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>28,578</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,912</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,811</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,724</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>33,438,434</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,669,502</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72,988,138</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180,841,241</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>$ 122,061,615</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 129,384,698</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 264,379,178</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 619,381,170</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>5,6,7</FONT></SUP>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 127,810,268</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 229,461,302</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 350,161,815</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>784,213</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(166,631)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(512,837)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,278,697</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>(7,037,623)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(84,093,996)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(71,880,845)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(78,454,138)</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>504,757</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(15,815,977)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(13,388,955)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,785,493)</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>$ 122,061,615</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 129,384,698</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 264,379,178</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 619,381,170</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>$ 13.55</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.47</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.36</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16.79</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" 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>Investments 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>$ 146,852,174</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 176,511,087</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 336,503,892</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 773,139,432</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" 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>Investments 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>$ 1,172,197</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,822,139</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 788,199</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="TEXT-INDENT: 3px" 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>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>$ 20,036</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 33,350</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 40,312</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 22,897</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" 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>Proceeds from TALF loan</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>12,685,079</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>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 style="TEXT-INDENT: 3px" align=left><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 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>12,358,847</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,409,087</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 style="TEXT-INDENT: 3px" align=left><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>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>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>41</FONT>&nbsp;</TD></TR></TABLE></DIV>
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     <TD align=left><FONT color=#004a91 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>
<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>August 31, 2010</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment at value &#151; Master Senior Floating Rate LLC (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>$ 299,318,065</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 151,069,115</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <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>606,466</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>372,317</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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>174,475</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98,454</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>300,099,006</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>151,539,886</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>1,131,781</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>555,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <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>606,466</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>372,317</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <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>63,168</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,808</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>1,961</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>393</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 fees payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>397</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195</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 style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>160,661</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>78,184</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>1,964,434</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,057,022</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>$ 298,134,572</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 150,482,864</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>$ 558,376,109</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 217,510,422</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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,050,813</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>609,315</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>(244,999,199)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(59,754,564)</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>(17,293,151)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,882,309)</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>$ 298,134,572</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 150,482,864</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>$ 7.59</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.22</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" 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>Cost &#151; investment in 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>$ 316,611,216</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 158,951,424</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" 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>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>39,278,829</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,308,013</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>42 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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     <TD width="50%"></TD>
     <TD width="17%"></TD>
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     <TD width="11%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Operations</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center>&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=center>&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=center><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 style="TEXT-INDENT: 4px" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Defined</FONT></B>&nbsp;</TD>
     <TD style="TEXT-INDENT: 3px" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>
     <TD style="TEXT-INDENT: 3px" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>
     <TD style="TEXT-INDENT: 3px" 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 style="TEXT-INDENT: 2px" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Strategies</FONT></B>&nbsp;</TD>
     <TD style="TEXT-INDENT: 3px" 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 style="TEXT-INDENT: 2px" 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>Year Ended August 31, 2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 5px" 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; TEXT-INDENT: 4px" 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; TEXT-INDENT: 4px" 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; TEXT-INDENT: 4px" 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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Income</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>$ 9,670,479</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11,605,109</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19,956,756</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 45,319,313</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>263,946</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>183,830</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>402,413</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>754,292</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends &#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>4,642</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,377</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,371</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>66,063</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>9,939,067</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,793,316</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,365,540</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,139,668</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>1,442,635</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,130,484</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,301,702</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,532,788</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>163,745</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>158,514</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>311,569</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,500</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>140,402</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>118,746</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>164,059</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>140,292</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>63,119</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,921</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>95,525</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>155,398</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>31,404</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,104</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69,336</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>118,831</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>26,077</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,415</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>44,799</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>188,444</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>21,097</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,335</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35,720</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,117</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>12,851</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,239</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,469</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>86,810</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>9,400</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,814</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,474</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,803</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>62,851</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,038</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87,857</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>128,480</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>1,973,581</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,591,610</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,147,510</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,402,463</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>305,577</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>328,762</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>598,107</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>478,537</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>2,279,158</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,920,372</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,745,617</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,881,000</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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,035)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,960)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,852)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(24,221)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Less fees paid indirectly</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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>(169)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(205)</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)</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>2,277,123</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,918,243</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,742,560</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,856,236</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>7,661,944</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,875,073</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,622,980</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41,283,432</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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 style="TEXT-INDENT: 2px" align=left><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>102,260</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(13,776,827)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(14,321,468)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(14,272,491)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><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>128,719</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><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>(2,447,290)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,201,543)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(218,880)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><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>1,183,199</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>773,108</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,366,306</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,648,603</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>1,285,459</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(15,451,009)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(14,156,705)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,714,049)</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 style="TEXT-INDENT: 2px" align=left><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>6,399,628</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33,206,690</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,932,404</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72,041,707</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><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>(202,892)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><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>4,121,526</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,108,878</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>156,860</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><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>229,852</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>109,147</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>403,362</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(250,242)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><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>(107,260)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(84,670)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19,200)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(237,495)</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>6,522,220</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,352,693</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41,425,444</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>71,507,938</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>7,807,679</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,901,684</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,268,739</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>59,793,889</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>$ 15,469,623</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 31,776,757</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 43,891,719</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 101,077,321</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Note 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></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>43</FONT></P>
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     <TD align=left><FONT color=#004a91 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 style="TEXT-INDENT: 3px" 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>
<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>Year Ended August 31, 2010</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=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Income</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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 style="TEXT-INDENT: 2px" 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>$ 18,865,873</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9,401,767</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends &#151; affiliated</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,996</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,096</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" 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>423,663</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210,524</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><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>(3,258,151)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,623,888)</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>16,057,381</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,001,499</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>759,514</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>605,701</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>282,882</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85,960</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>126,161</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>71,957</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>92,342</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>60,057</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>76,615</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>43,384</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>48,377</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30,921</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>966</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>483</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>13,583</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,186</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>1,400,440</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>911,649</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>14,656,941</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,089,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>(17,149,880)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,524,615)</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, foreign currency transactions and unfunded</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>35,131,654</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,400,162</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>17,981,774</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,875,547</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>$ 32,638,715</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15,965,397</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>44 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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     <TD align=left><FONT color=#004a91 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=#004a91 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 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></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; TEXT-INDENT: 32px" 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 3px double" 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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>$ 7,661,944</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 gain (loss)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,285,459</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>6,522,220</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>15,469,623</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>(6,270,058)</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>(6,270,058)</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Share Transactions</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>9,199,565</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 year</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 year</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 122,061,615</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 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>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>$ 784,213</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (925,324)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=right><B><FONT color=#004a91 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 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></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; TEXT-INDENT: 32px" 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 3px double" 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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>$ 9,875,073</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>(15,451,009)</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>37,352,693</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>31,776,757</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>(9,834,087)</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>(666,708)</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>(10,500,795)</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Share Transactions</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>552,341</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>21,828,303</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 year</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 year</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 129,384,698</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>$ (166,631)</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></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>45</FONT></P>
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<TR>
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     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#004a91 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=#004a91 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 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></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>2010</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>2009</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>$ 16,622,980</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>(14,156,705)</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>41,425,444</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(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>43,891,719</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>(17,335,715)</FONT>&nbsp;</TD>
     <TD 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 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>(378,219)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</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>(17,713,934)</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Share Transactions</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>1,041,829</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>27,219,614</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 year</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 year</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 264,379,178</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 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>$ (512,837)</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>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=right><B><FONT color=#004a91 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 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></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>2010</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>2009</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>$ 41,283,432</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>(11,714,049)</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>71,507,938</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>101,077,321</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>(33,200,685)</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>67,876,636</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 year</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 year</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 619,381,170</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>$ 6,278,697</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></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>46 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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     <TD width="32%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#004a91 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=#004a91 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 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></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>2010</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>2009</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>$ 14,656,941</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>(17,149,880)</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>35,131,654</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(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>32,638,715</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>(14,620,743)</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Share Transactions</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>(31,545,795)</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>(13,527,823)</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 year</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=right><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 year</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 298,134,572</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 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>$ 2,050,813</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,249,054</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=right><B><FONT color=#004a91 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 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></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>2010</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>2009</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>$ 7,089,850</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>(7,524,615)</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>16,400,162</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(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>15,965,397</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>(7,072,114)</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Share Transactions</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>(8,757,464)</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>135,819</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 year</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 year</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 150,482,864</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>$ 609,315</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></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>47</FONT></P>
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     <TD align=left><FONT color=#004a91 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>
     <TD align=left>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD align=center>&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=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=center><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>Limited</FONT></B>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 4px" 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 style="TEXT-INDENT: 4px" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>
     <TD style="TEXT-INDENT: 3px" 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>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>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>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>Trust</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>Year Ended August 31, 2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 5px" 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; TEXT-INDENT: 5px" 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; TEXT-INDENT: 5px" 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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash Provided by (Used for) Operating Activities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>$ 15,469,623</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 31,776,757</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 43,891,719</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 101,077,321</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</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>provided by (used for) operating activities:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT 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>(402,053)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>756,003</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>363,373</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,114,052)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease 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>1,600,000</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="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in cash pledged as collateral for 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>(70,000)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease (increase) in 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>75,556</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>74,945</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(121,500)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in 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>554</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in 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>1,463</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>(2,192)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,834)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,454)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10,785)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease (increase) in dividends 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>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(588)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease (increase) in prepaid expenses</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,968)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,979)</FONT>&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>9,236</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in other assets</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(20,152)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(453,422)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(167,568)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(729,697)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase (decrease) in other liabilities</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,578</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(391,043)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,811</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,724</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in investment advisory fees payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,122</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,406</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,921</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>94,561</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>26,368</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,136</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75,662</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>97,771</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>126</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>132</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>514</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase (decrease) in other accrued expenses payable</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>118,369</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,523)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41,038</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,306</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase (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>(121,296)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(73,465)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in cash held 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>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(100,000)</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 style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase (decrease) in 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>204</FONT>&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>246</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,340</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>(6,424,110)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(20,841,656)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(25,091,088)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(55,048,495)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net periodic and termination payments of 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>(1,855,683)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(184,890)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(64,388)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amortization of premium and accretion of discount on investments</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,905,015)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,411,896)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,902,861)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,130,492)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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>(77,637)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(612,662)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,296,600)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,690,999)</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 investments</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>145,741,888</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>159,688,378</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>297,452,730</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,897,966,935</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 investments</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(144,649,558)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(169,958,931)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(314,819,088)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,117,895,813)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net sales (purchases) of short-term 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>(1,172,197)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>549,439</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,230,180</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>96,671,566</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 (used for) 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>6,738,547</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,136,216)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,455,968)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(86,881,668)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash Provided by (Used for) Financing Activities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>109,000,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143,000,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240,000,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>205,289,010</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash payments on borrowings</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(112,000,000)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(132,000,000)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(225,000,000)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(82,055,858)</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>(6,277,899)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,949,176)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16,836,609)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(33,207,645)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease (increase) in bank overdraft</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>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,179,743)</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 (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>(9,277,899)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,050,824</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,792,704)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>86,845,764</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>(194)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(712)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,003)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,474)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net decrease in cash and foreign currency</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,539,546)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(86,104)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,255,675)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(40,378)</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 year</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>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>59,386</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 year</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19,910</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 33,052</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 220,478</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19,008</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash Flow Information</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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 paid for interest</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 279,209</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 286,626</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 522,445</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 380,766</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Noncash Financing Activities</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital shares issued in reinvestment of dividends paid to shareholders</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>552,341</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,041,829</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-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><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>average total assets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>48 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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     <TD align=left><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>
     <TD colSpan=3 align=right><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B>&nbsp;</TD></TR>
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     <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>Period</FONT></B>&nbsp;</TD></TR>
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     <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>January 31,</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 16px" 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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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 style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 16px" 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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; August 31,</FONT></B>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>to August 31,</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>2010</FONT></B>&nbsp;&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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>0.85</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>0.87</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>1.72</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(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><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>(0.70)</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>
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     <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>(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>(0.70)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(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>$ 13.55</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 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>$ 12.86</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>14.39%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(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>23.33%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.65)%</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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>1.91%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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</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>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>1.65%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>6.40%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>$ 122,062</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>$ 24,000</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>$ 24,633</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>102%</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 $1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,086</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></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commencement of operations.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from initial offering price of $15.00 per share.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</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>Aggregate total investment return.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>49</FONT></P>
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     <TD align=left><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>
     <TD colSpan=5 align=right><B><FONT color=#004a91 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 style="BORDER-BOTTOM: #000000 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>2010</FONT></B>&nbsp;&nbsp;&nbsp;&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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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 year</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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18.38</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>0.80</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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.77</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>1.78</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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.25</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>2.58</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.02</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></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>(0.80)</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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.70)</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>(0.05)</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=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>(0.85)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.70)</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; TEXT-INDENT: 6px" align=right><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>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 asset value, end of year</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.47</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 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></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 year</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.45</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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18.85</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>3</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>30.27%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(23.82)%</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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.99%</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>29.13%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(16.27)%</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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18.36%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>&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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.17%</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>1.53%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.17%</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 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>&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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.29%</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>7.86%</FONT>&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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.57%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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 year (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>$ 129,385</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 224,156</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 year (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>$ 29,000</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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 88,800</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 year (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>$ 25,074</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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 86,132</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>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>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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64%</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 year per $1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,462</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 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" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,524</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amount is less than $(0.01) per share.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>50 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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     <TD align=left><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>
     <TD colSpan=5 align=right><B><FONT color=#004a91 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 style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
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     <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=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 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></TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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 year</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 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>0.91</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></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>1.48</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(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></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>2.39</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.90)</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></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></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>(0.94)</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></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>(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>
     <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>(0.96)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(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></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of year</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.36</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></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 year</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.61</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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>18.91%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(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></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>27.59%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3.88)%</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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>&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></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>&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></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>1.22%</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>
     <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></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>6.43%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.18%</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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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 year (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>$ 264,379</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></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrowings outstanding, end of year (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>$ 53,000</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></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average borrowings outstanding during the year (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>$ 48,258</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></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>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>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></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of year per $1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,988</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 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></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>51</FONT></P>
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     <TD align=left><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=right><B><FONT color=#004a91 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=left>&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>
     <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>
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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>November 1,</FONT></B>&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=left>&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>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
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     <TD align=left>&nbsp;</TD>
     <TD 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 align=center>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended October 31,</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" align=left>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31,</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&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 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>2010</FONT></B>&nbsp;&nbsp;&nbsp;&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; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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></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>1.12</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></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>1.62</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.61)</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></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>2.74</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(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></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 style="TEXT-INDENT: 2px" 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>(0.90)</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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" 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>&#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></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>(0.90)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(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></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>$ 16.79</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 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></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>$ 16.76</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>19.00%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(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></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>26.04%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.40%</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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>0.82%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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></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 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>0.81%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.71%</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></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>0.81%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.71%</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></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 style="TEXT-INDENT: 2px" 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>0.73%</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>0.76%</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></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>6.90%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>$ 619,381</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 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></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>$ 123,233</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#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></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>$ 44,160</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 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></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>248%</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></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 $1,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,026</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></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 113%.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 79%.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 24%.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>52 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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     <TD align=left><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 1px" colSpan=3 align=left><B><FONT color=#004a91 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 style="BORDER-BOTTOM: #000000 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>
<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>2010</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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 year</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" 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></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>0.36</FONT>&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></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>0.43</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.83)</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></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>0.79</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(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></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>(0.36)</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>
     <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></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 year</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.59</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.16</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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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>11.20%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.69)%</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>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>3.07%</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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&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>&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>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>1.44%</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></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>4.82%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.97%</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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&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 year (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>$ 298,135</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 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></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>108%</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%</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></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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><BR>
<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><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>During the year ended August 31, 2008, the Fund recorded a refund related to overpayments of prior years&#146; tender offer fees, which increased net investment income per</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>share $0.02 and increased total investment return 0.24%. The expense ratio excluding the refund was 1.46%.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </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></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>53</FONT></P>
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     <TD align=left><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD colSpan=4 align=right><B><FONT color=#004a91 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 style="BORDER-BOTTOM: #000000 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>
<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>2010</FONT></B>&nbsp;&nbsp;&nbsp;&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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 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=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 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 year</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" 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></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>0.38</FONT>&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></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>0.46</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.89)</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></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>0.84</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.48)</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></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>(0.38)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.43)</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></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 year</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.22</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.76</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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&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>10.97%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(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>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>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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&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>&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>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>1.59%</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></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>4.68%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=right>&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 year (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>$ 150,483</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</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></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>108%</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%</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></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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><BR>
<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><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>During the year ended August 31, 2008, the Fund recorded a refund related to overpayments of prior years&#146; tender offer fees, which increased net investment income per</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>share $0.02 and increased total investment return 0.11%. The expense ratio excluding the refund was 1.64%.</FONT><BR>
<SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </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></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>54 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<A name="page_56"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>1. Organization and Significant Accounting Policies:</FONT><BR>
<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, the &#147;Funds&#148; or individually as a &#147;Fund&#148;) are 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;). BHL</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and BLW are organized as Delaware Statutory trusts. DVF, FRA, Senior</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate and Senior Floating Rate II are organized as Maryland corpo-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rations. BHL, DVF, FRA and BLW are registered as diversified, closed-end</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>management investment companies. Senior Floating Rate and Senior</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate II are registered as continuously offered, non-diversified,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closed-end management investment companies. The Funds' financial state-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments 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 ("US GAAP"), which may require</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>management to make estimates and assumptions that affect the reported</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amounts and disclosures in the financial statements. Actual results could</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>differ from those estimates. The Boards of Directors and the Boards of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Trustees of the Funds are referred to throughout this report as the &#147;Board</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Directors&#148; or the &#147;Board&#148;. The Funds determine and make available for</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>publication the net asset values of their Common 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 August 31, 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 fair value their financial instruments at market value</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>using independent dealers or pricing services under policies approved by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Board. 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. Floating rate loan interests are valued at the mean of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>bid prices from one or more brokers or dealers as obtained from a pricing</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>service. In determining the value of a particular investment, pricing services</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may use certain information with respect to transactions in such invest-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments, quotations from dealers, pricing matrixes, market transactions in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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, establish a benchmark yield and develop 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></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>attributes of the tranche. Financial futures contracts traded on exchanges</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are valued at their last sale price. To-be-announced ("TBA") commitments</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are valued on the basis of last available bid prices or current market quo-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tations provided by pricing services. Swap agreements are valued utilizing</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quotes received daily by the Funds' pricing service or through brokers,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which are derived using daily swap curves and models that incorporate a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>number of market data factors, such as discounted cash flows and trades</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and values of the underlying reference instruments. 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 NAS-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DAQ Global Market System are valued at the last reported sale price that</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>day or the NASDAQ official closing price, if applicable. For equity invest-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments traded on more than one exchange, the last reported sale price on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the exchange where the stock is primarily traded is used. Equity invest-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments traded on a recognized exchange for which there were no sales on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that day are valued at the last available bid price. If no bid price is avail-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>able, the prior day&#146;s price will be used, unless it is determined that such</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>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 mean 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>Exchange-traded options are valued at the mean between the last bid and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ask prices at the close of the options market in which the options trade.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>An exchange-traded option for which there is no mean price is valued at</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the last bid price. If no bid price is available, the prior day&#146;s price will be</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>used, unless it is determined that the prior 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 are valued by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>an independent pricing service using a mathematical model which incorpo-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates a number of market data factors, such as the trades and prices of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the underlying instruments.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In the event that application of these methods of valuation results in a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>price for an investment which is deemed not to be representative of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market value of such investment or is not available, the investment will</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be valued in accordance with a policy approved by the 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 each Fund might reasonably expect to receive from the cur-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rent sale of that asset in an arm&#146;s-length transaction. Fair value determina-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions shall be based upon all available factors that the investment advisor</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>subsequently reported to the Board or a committee thereof.</FONT><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></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>55</FONT></P>
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<A name="page_57"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 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 may not be reflected in the computation of each Fund's net assets.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>If events (for example, a company announcement, market volatility or a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>natural disaster) occur during such periods that are expected to materially</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>affect the value of such instruments, those instruments may be Fair Value</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets and be valued at their fair values, as determined in good faith by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the investment advisor using a pricing service and/or policies approved</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 based on each Fund&#146;s proportionate interest in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the net assets of the Master LLC. Valuation of securities held by the Master</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC, including categorization of fair value measurements, is discussed in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Note 1 of the Master LLC&#146;s Notes to Financial Statements, which are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>included elsewhere 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>The Funds' books and records are main-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tained in US dollars. Purchases and sales of investment securities are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recorded at the rates of exchange prevailing on the date the transactions</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are entered into. Generally, when the US dollar rises in value against for-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>eign currency, the Funds' investments denominated in that currency will</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lose value because its currency is worth fewer US dollars; the opposite</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>effect occurs if the US dollar falls in relative value.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds report foreign currency related transactions as components of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>realized gain (loss) for financial reporting purposes, whereas such compo-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>nents 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 invest</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in asset-backed securities. Asset-backed securities are generally issued as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pass-through certificates, which represent undivided fractional ownership</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interests in an underlying pool of assets, or as debt instruments, which are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>also known as collateralized obligations, and are generally issued as the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>debt of a special purpose entity organized solely for the purpose of owning</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>such assets and issuing such debt. Asset-backed securities are often</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>backed by a pool of assets representing the obligations of a number of dif-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ferent parties. The yield characteristics of certain asset-backed securities</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may differ from traditional debt securities. One such major difference is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that all or a principal part of the obligations may be prepaid at any time</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>because the underlying assets (i.e., loans) may be prepaid at any time. As</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a result, a decrease in interest rates in the market may result in increases</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in the level of prepayments as borrowers, particularly mortgagors, refinance</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and repay their loans. An increased prepayment rate with respect to an</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>asset-backed security subject to such a prepayment feature will have the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>effect of shortening the maturity of the security. If the 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 securi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ties 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;Ginnie Mae&#148;) are guaranteed as to the timely payment of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>principal and interest by Ginnie Mae and such guarantee is backed by the</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>full faith and credit of the United States. However, mortgage-related securi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ties issued by the Federal Home Loan Mortgage Corporation (&#147;Freddie</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mac&#148;) and Federal National Mortgage Association (&#147;Fannie Mae&#148;), includ-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing Freddie Mac and Fannie Mae guaranteed Mortgage Pass-Through</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certificates which are solely the obligations of Freddie Mac and Fannie</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mae, 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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>from the Treasury.</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 set-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tlement 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><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' maximum amount of loss is the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unrealized appreciation of unsettled when-issued transactions, which is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shown on the Schedules of 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 Loan Interests: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds may invest in floating rate loan</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interests. The floating rate loan interests the Funds hold are typically issued</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to companies (the &#147;borrower&#148;) by banks, other financial institutions, and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>privately and publicly offered corporations (the &#147;lender&#148;). Floating rate loan</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interests are generally non-investment grade, often involve borrowers whose</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial condition is troubled or uncertain and companies that are highly</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>levered. The Funds may invest in obligations of borrowers who are in bank-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ruptcy proceedings. Floating rate loan interests may include fully funded</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>term loans or revolving lines of credit. Floating rate loan interests are typi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cally senior in the corporate capital structure of the borrower. Floating rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan interests generally pay interest at rates that are periodically deter-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mined by reference to a base lending rate plus a premium. The base lend-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing rates are generally the lending rate offered by one or more European</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>banks, such as LIBOR (London Inter Bank Offered Rate), the prime rate</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>56 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 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>offered by one or more US banks or the certificate of deposit rate. Floating</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate loan interests may involve foreign borrowers, and investments may</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be denominated in foreign currencies. The Funds consider these invest-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments to be investments in debt securities for purposes of their</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment policies.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>When a Fund buys a floating rate loan interest it may receive a facility fee</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and when it sells a floating rate loan interest it may pay a facility fee. On</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>an ongoing basis, the Funds may receive a commitment fee based on the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>undrawn portion of the underlying line of credit amount of a floating rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan interest. The Funds earn and/or pay facility and other fees on floating</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate loan interests, which are shown as facility and other fees in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Statements of Operations. Facility and commitment fees are typically</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amortized to income over the term of the loan or term of the commitment,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respectively. Consent and amendment fees are recorded to income as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>earned. Prepayment penalty fees, which may be received by the Funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>upon the prepayment of a floating rate loan interest by a borrower, are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recorded as realized gains. The Funds may invest in multiple series or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tranches of a loan. A different series or tranche may have varying terms</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and carry different associated risks.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating rate loan interests are usually freely callable at the borrower&#146;s</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>option. The Funds may invest in such loans in the form of participations in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loans (&#147;Participations&#148;) and assignments of all or a portion of loans from</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>third parties. Participations typically will result in the Funds 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 Funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>will have the right to receive payments of principal, interest and any fees to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which it is entitled only from the lender selling the Participation and only</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>upon receipt by the lender of the payments from the borrower. In connec-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion with purchasing Participations, the Funds generally will have no right to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>enforce compliance by the borrower with the terms of the loan agreement,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>nor any rights of offset against the borrower, and the Funds may not benefit</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>directly from any collateral supporting the loan in which it has purchased</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Participation. As a result, the Funds will assume the credit risk of both</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the borrower and the lender that is selling the Participation. The Funds'</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment in loan participation interests involves the risk of insolvency of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the financial intermediaries who are parties to the transactions. In the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>event of the insolvency of the lender selling the Participation, the Funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may be treated as general creditors of the lender and may not benefit from</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>any offset between the 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 TBA 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. These transactions may increase the Funds' portfolio turnover rate.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mortgage dollar rolls involve the risk that the market value of the securities</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that the Funds are required to purchase may decline below the agreed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>upon repurchase price of those securities.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Treasury Roll Transactions: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A treasury roll transaction involves the sale of a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury security, with an agreement to repurchase the same security at an</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreed upon price and date. Treasury rolls constitute a borrowing and the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>difference between the sale and repurchase price represents interest</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expense at an agreed upon rate. Whether such a transaction produces a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>positive impact on performance depends upon whether the income on the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities purchased with the proceeds received from the sale of the secu-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rity exceeds the interest expense incurred by the Funds. For accounting</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>purposes, treasury rolls are not considered purchases and sales and any</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>gains or losses incurred on the treasury rolls will be deferred until the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury securities are disposed.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury roll transactions involve the risk that the market value of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities that the 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 purchase price of those securities. If investment performance</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of securities purchased with proceeds from these transactions does not</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exceed the income, capital appreciation and gain or loss that would have</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>been realized on the securities sold as part of the treasury roll, the use of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>this technique will adversely impact the performance of the Funds.</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 agrees to repurchase the same securities at a mutually</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreed upon date and price. Certain agreements have no stated maturity</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and can be terminated by either party at any time. Interest on the value of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the 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 mar-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ket value of the securities that the Funds are obligated to repurchase under</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the agreement may decline below the repurchase price. In the event the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>buyer of securities under a reverse repurchase agreement files for bank-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ruptcy or becomes insolvent, the Funds' use of the proceeds of the agree-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment 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' 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. TBA</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commitments are forward agreements for the purchase or sale of mort-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>gage-backed securities for a fixed price, with payment and delivery on an</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreed-upon future settlement date. The specific securities to be delivered</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are not identified at the trade date; however, delivered securities must</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>meet specified terms, including issuer, rate and mortgage terms. The Funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>generally enter into TBA commitments with the intent to take possession</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of or deliver out the underlying mortgage-backed securities but can extend</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the settlement or roll the transaction. TBA commitments involve a risk</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of loss if the value of the security to be purchased or sold declines or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>increases, respectively, prior to settlement date.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Zero-Coupon Bonds: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds may invest in zero-coupon bonds,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which are normally issued at a significant discount from face value and do</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>not provide for periodic interest payments. Zero-coupon bonds may experi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ence greater volatility in market value than similar maturity debt obligations</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which provide for regular interest payments.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>57</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 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 the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interpretive positions of the SEC require that the Funds either deliver collat-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>eral or segregate assets in connection with certain investments (e.g., dollar</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rolls, TBA sale commitments, financial futures contracts, foreign currency</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange contracts and swaps), or certain borrowings (e.g., reverse repur-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>chase agreements, treasury roll transactions, TALF loans and loan payable),</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each Fund will, consistent with SEC rules and/or certain interpretive letters</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>issued by the SEC, segregate collateral or designate on their books and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>records cash or other liquid securities having a market value at least equal</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the amount that would otherwise be required to be physically segre-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>gated. Furthermore, based on requirements and agreements with certain</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchanges and third party broker-dealers, each party has requirements to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>deliver/deposit securities 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 transac-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions are entered into (the trade dates). Realized gains and losses on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 subse-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quently 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, including amortization of premium and accretion of dis-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>count on debt securities, is recognized on the accrual basis. Consent fees</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are compensation for agreeing to changes in the terms of debt instruments</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and are included in facility and other fees 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 exceeds net investment income and accumulated realized capital</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>gains, a portion of the total distribution may be treated as a tax return of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>capital. The amount and timing of dividends and distributions are deter-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mined in accordance with federal income tax regulations, which may differ</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>from US GAAP.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Income Taxes: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>It is each Fund's policy to comply with the requirements of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Internal Revenue Code of 1986, as amended, applicable to regulated</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment companies and to distribute substantially all of its taxable</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income to its shareholders. Therefore, no federal income tax provision</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is required.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds have wholly owned taxable subsidiaries organized as limited</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>liability companies (the &#147;Taxable Subsidiaries&#148;) each of which holds one</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the investments listed in the Schedules of Investments. The Taxable</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Subsidiaries allow a Fund to hold an investment that is organized as an</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>operating partnership while still satisfying Regulated Investment Company</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tax requirements. Income earned on the investments held by the Taxable</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Subsidiaries is taxable to such subsidiaries. Income tax expense, if any, of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Taxable Subsidiaries is reflected in the market value of the investments</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>held by the Taxable Subsidiaries.</FONT></P>
<P style="TEXT-ALIGN: left"><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' US federal tax returns remains open for each of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>two years ended August 31, 2010 and the period ended August 31, 2008</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for BHL, the four years ended August 31, 2010 for DVF, FRA, Senior Floating</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rate and Senior Floating Rate II and the two years ended August 31,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2010, the period ended August 31, 2008 and the year ended October 31,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007 for BLW. The statutes of limitations on the Funds' state and local tax</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>returns may remain open for an additional year depending upon the juris-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>diction. There are no uncertain tax positions that require recognition of a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tax liability.</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'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 certain other BlackRock Closed-End Funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>selected by the Independent Directors. This has approximately the same</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>economic effect for the Independent Directors as if the Independent</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Directors had invested the deferred amounts directly in certain other</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Closed-End Funds.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The deferred compensation plan is not funded and obligations thereunder</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>represent general unsecured claims against the general assets of each</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund. Each Fund may, however, elect to invest in common shares of certain</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other BlackRock Closed-End Funds selected by the Independent Directors</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in order to match its deferred compensation obligations. Investments to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cover each Fund's deferred compensation liability, if any, are included in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other assets in the Statements of Assets and Liabilities. Dividends and dis-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tributions from the BlackRock Closed-End Fund investments under the plan</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are included in dividends &#151; affiliated in the Statements of Operations.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Other: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expenses directly related to a Fund are charged to that Fund. Other</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>operating expenses shared by several funds are pro rated among those</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>funds on the basis of relative net assets or other appropriate methods. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds have an arrangement with the custodians whereby fees may be</FONT><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 engage in various portfolio investment strategies using derivative</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts both to increase the returns of the Funds and to economically</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>hedge, or protect, their exposure to certain risks such as credit risk, equity</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risk, interest rate risk or foreign currency exchange rate risk. These contracts</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may be transacted on an exchange or OTC.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Losses may arise if the value of the contract decreases due to an unfavor-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>able change in the market rates or values of the underlying instrument or if</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the counterparty does not perform under the contract. The Funds' maxi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mum risk of loss from counterparty credit risk on OTC derivatives is gener-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ally the aggregate unrealized gain netted against any collateral pledged</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by/posted to the counterparty. For OTC options purchased, the Funds bear</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>58 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 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 risk of loss in the amount of the premiums paid plus the positive</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>change in market values net of any collateral received on the options</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>should the counterparty fail to perform under the contracts. Options written</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the Funds do not give rise to counterparty credit risk, as options written</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>obligate the Funds to perform and not the counterparty. Counterparty risk</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>related to exchange-traded financial futures contracts and options is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>deemed to be minimal due to the protection against defaults provided by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the exchange on which these contracts trade.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may mitigate counterparty risk by procuring collateral and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>through netting provisions included within an International Swaps and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivatives Association, Inc. (&#147;ISDA&#148;) Master Agreement implemented</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between a Fund and each of its respective counterparties. The ISDA Master</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Agreement allows each Fund to offset with each separate counterparty</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>certain derivative financial instrument&#146;s payables and/or receivables with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>collateral held. The amount of collateral moved to/from applicable</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparties is generally based upon minimum transfer amounts of up</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to $500,000. To the extent amounts due to the Funds from their counter-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>parties are not fully collateralized contractually or otherwise, the Funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>bear the risk of loss from counterparty non-performance. See Note 1</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#147;Segregation and Collateralization&#148; for information with respect to collateral</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>practices. In addition, the Funds manage counterparty risk by entering into</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreements only with counterparties that it believes have the financial</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>resources to honor their obligations and by monitoring the financial stability</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of those counterparties.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain ISDA Master Agreements allow counterparties to OTC derivatives to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>terminate derivative contracts prior to maturity in the event the Funds&#146; net</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets decline by a stated percentage or the Funds fail to meet the terms</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of its ISDA Master Agreements, which would cause the Funds to accelerate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>payment of any net liability owed to the counterparty.</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 purchase or sell financial futures</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts and options on financial futures contracts to gain exposure to,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or economically hedge against, changes in interest rates (interest rate risk).</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts are contracts for delayed delivery of securities or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currencies at a specific future date and at a specific price or yield.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pursuant to the contract, the Funds agree to receive from or pay to the bro-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ker an amount of cash equal to the daily fluctuation in value of the con-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tract. 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>recorded by the Funds as unrealized gains or losses. When the contract is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cial futures contracts, interest rates and the 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 enter into foreign cur-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rency 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 instruments or to obtain exposure to foreign cur-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rencies (foreign currency exchange rate risk). A foreign currency exchange</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contract is an agreement between two parties to buy and sell a currency at</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a set exchange rate on a future date. Foreign currency exchange contracts,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>when used by the Funds, help to manage the overall exposure to the cur-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rency backing some of the investments held by the Funds. The contract is</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>marked-to-market daily and the change in market value is recorded by the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds as an unrealized gain or loss. When the contract is closed, the Funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>record a realized gain or loss equal to the difference between the value at</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the time it was opened and the value at the time it was closed. The use of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>foreign currency exchange contracts involves the risk that the value of a for-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>eign currency exchange contract changes unfavorably due to movements in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the value of the referenced foreign currencies and the risk that a counter-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>party to the contract does not perform its obligations under the agreement.</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 purchase and write call and put options to increase or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>decrease their exposure to underlying instruments (including equity risk</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and/or interest rate risk) and/or, in the case of options written, to generate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>gains from options premiums. A call option gives the purchaser of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>option the right (but not the obligation) to buy, and obligates the seller to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sell (when the option is exercised), the underlying instrument at the exer-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cise price at any time or at a specified time during the option period. A put</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>option gives the holder the right to sell and obligates the writer to buy the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underlying instrument at the exercise price at any time or at a specified</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>time during the option period. When the Funds purchase (write) an option,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>an amount equal to the premium paid (received) by the Funds is reflected</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as an asset (liability). The amount of the asset (liability) is subsequently</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>marked-to-market to reflect the current market value of the option pur-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>chased (written). When an instrument is purchased or sold through an</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exercise of an option, the related premium paid (or received) is added to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(or deducted from) the basis of the instrument acquired or deducted from</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(or added to) the proceeds of the instrument sold. When an option expires</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(or the Funds enter into a closing transaction), the Funds realize a gain or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loss on the option to the extent of the premiums received or paid (or gain</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or loss to the extent the cost of the closing transaction exceeds the premi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ums received or paid). When the Funds write a call option, such option is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#147;covered,&#148; meaning that the Funds hold the underlying instrument subject</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to being called by the option counterparty, or cash in an amount sufficient</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to cover the obligation. When the Funds write a put option, such option is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>covered by cash in an amount sufficient to cover the obligation.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In purchasing and writing options, the Funds bear the risk of an unfavor-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>able change in the value of the underlying instrument or the risk that the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds may not be able to enter into a closing transaction due to an illiquid</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market. Exercise of an option written could result in the Funds purchasing</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or selling a security at a price different from the current market value.</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 Funds enter into swap agreements, in which the Funds and a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparty agree to make periodic net payments on a specified notional</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amount. These periodic payments received or made by the Funds are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 Funds will record a realized gain or loss equal to the differ-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ence between the proceeds from (or cost of) the closing transaction and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Funds' basis in the contract, if any. Generally, the basis of the contracts</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is the premium received or paid. 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></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>59</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 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>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></P>
<P style="TEXT-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 Funds enter into credit default swaps to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>manage their 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 their 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 they are 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 Funds may either buy or sell (write) credit default swaps</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on single-name issuers (corporate or sovereign), a combination or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>basket of single-name issuers or traded indexes. Credit default swaps</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on single-name issuers are agreements in which the buyer pays fixed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>periodic payments to the seller in consideration for a guarantee from</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the seller to make a specific payment should a negative credit event</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>take place (e.g., bankruptcy, failure to pay, obligation accelerators, repu-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>diation, moratorium or restructuring). Credit default swaps on traded</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>indexes are agreements in which the buyer pays fixed periodic pay-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments to the seller in consideration for a guarantee from the seller to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>make a specific payment should a write-down, principal or interest</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shortfall or default of all or individual underlying securities included in</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the index occurs. As a buyer, if an underlying credit event occurs, the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds will either receive from the seller an amount equal to the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>notional amount of the swap and 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. As</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a seller (writer), if an underlying credit event occurs, the Funds 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 the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>notional amount of the swap less the recovery value of the security or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underlying securities comprising of an index.</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; The Funds enter into interest rate swaps to gain or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reduce exposure to or manage duration, the yield curve or interest rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risk by economically hedging the value of the fixed rate bonds which</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may decrease when interest rates rise (interest rate risk). Interest rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>swaps are agreements in which one party pays a stream of interest pay-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments, either fixed or floating rate, for another party's stream of interest</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>payments, either fixed or floating, on the same notional amount for a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>specified period of time. Interest rate floors, which are a type of interest</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate swap, are agreements in which one party agrees to make payments</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the other party to the extent that interest rates fall below a specified</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate or floor in return for a premium. In more complex swaps, the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>notional principal amount may decline (or amortize) over time.</FONT></P>
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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>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>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fair Values of Derivative Instruments as of August 31, 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></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>Asset Derivatives</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>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Statements of Assets</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></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>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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate contracts</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 9px" colSpan=2 align=left><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=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 9px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value &#151; unaffiliated**</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>$ 10,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 9px" align=left><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 style="TEXT-INDENT: 9px" align=left><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>$ 19,857</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 20,629</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,136</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,963</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit contracts</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 9px" align=left><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>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73,001</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>Equity contracts</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 9px" colSpan=2 align=left><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>&#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>
<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 style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19,857</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 20,629</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,136</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 96,714</FONT>&nbsp;</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>Liability Derivatives</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>&nbsp;</TD>
     <TD align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Statements of Assets</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></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>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 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate contracts</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 9px" colSpan=2 align=left><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=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=7 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on swaps;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 9px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Option written at value</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>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 190,770</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 9px" align=left><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 style="TEXT-INDENT: 9px" align=left><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>$ 20,355</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 34,968</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 50,859</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>710,108</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>Credit contracts</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 9px" align=left><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=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>21,480</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><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>$ 20,355</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 56,448</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 50,859</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 900,878</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* Includes cumulative appreciation/depreciation on the financial futures contracts as reported in the Schedules of Investments. Only current day&#146;s margin variation is reported within</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Statements of Assets and Liabilities.</FONT><BR>
<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></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>60 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#004a91 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>
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     <TD align=left>&nbsp;</TD>
     <TD colSpan=3 align=center><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>
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<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>Year Ended August 31, 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></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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px 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>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 style="TEXT-INDENT: 3px" align=left><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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 5px" 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=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>$ 128,719</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 5px" align=left><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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(2,263,345)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 5px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options***</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(64,793)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 5px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts****</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,136,334</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>786,199</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,152,384</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,428,576</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" 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" align=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>(183,945)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,201,543)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(218,880)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" 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>$ 1,136,334</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(1,661,091)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (49,159)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,273,622</FONT>&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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px 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>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 style="TEXT-INDENT: 3px" align=left><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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 5px" 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=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>$ (202,892)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 5px" align=left><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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,751,189</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="TEXT-INDENT: 5px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options***</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>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(20,231)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" 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;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 5px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts****</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 219,809</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>78,378</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 331,669</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(192,079)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 5px" align=left><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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,370,337</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,108,878</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>156,860</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" align=left><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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=left><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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(13,000)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(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>(46,000)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" 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>$ 219,809</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,186,904</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,420,547</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (304,342)</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>*** Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.</FONT><BR>
<BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>**** Foreign currency exchange contracts are included in the net realized gain (loss) from foreign currency transactions and net changes in unrealized appreciation/depreciation</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on foreign currency transactions.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the year ended August 31, 2010, the average quarterly balances of outstanding derivative financial instruments were as follows:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="48%"></TD>
     <TD width="24%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BHL</FONT></B>&nbsp;&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>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>Financial futures contracts:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts purchased</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>44</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts sold</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>95</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value of contracts purchased</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>$ 5,377,353</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value of contracts sold</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>$20,961,714</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD 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;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#151; US dollars purchased</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</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>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><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=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>2</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>2</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average US dollar amounts purchased</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13,384,455</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9,973,482</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$19,493,306</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$50,805,112</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average US dollar amounts sold</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 920,080</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 911,990</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,036,340</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8,543,582</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts purchased</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</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>165</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value of contracts purchased</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>$ 12,257</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18,857</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 341,497</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#151; buy protection</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</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>2</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#151; sell protection</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</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 style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value &#151; buy protection</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>$ 443,750</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 712,500</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,750,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value &#151; sell protection</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>$ 3,829,120</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,000,000</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><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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><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=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>
     <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; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value &#151; pays fixed rate</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>$10,000,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#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></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>61</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_63"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 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>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 struc-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ture, PNC is an affiliate of the Funds for 1940 Act purposes, but BAC and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays are not.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL, DVF, FRA and BLW entered into an Investment Advisory Agreement</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with BlackRock Advisors, LLC (the &#147;Manager&#148;), the Funds' 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 each Fund'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 at an annual rate of each</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund's average daily net assets, plus the proceeds of any outstanding</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrowings used for leverage as follows:</FONT></P>
<DIV align=left>
<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></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Manager voluntarily agreed to waive its investment 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 indi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rectly through its investment in affiliated money market funds, however, the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Manager does not waive its investment advisory fees by the amount of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment advisory fees paid through each Fund&#146;s investment in other</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>affiliated investment companies, if any. These amounts are shown as fees</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>waived by advisor in the Statements of Operations. For the year ended</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>August 31, 2010, the amounts waived were as follows:</FONT></P>
<DIV align=left>
<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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,035</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>$ 1,960</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>$ 2,852</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>$24,221</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Manager, on behalf of BHL, DVF, FRA and BLW, entered into a sub-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>advisory agreement with BlackRock Financial Management, LLC (&#147;BFM&#148;),</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>an affiliate of the Manager. The Manager pays BFM for services it provides,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a monthly fee that is a percentage of the investment advisory fees paid by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each Fund to the Manager.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the year ended August 31, 2010, certain Funds reimbursed the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Manager for certain accounting services, which are included in accounting</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>services in the Statements of Operations. The reimbursements were</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as follows:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="47%"></TD>
     <TD width="52%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,784</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>$ 2,925</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>$ 5,890</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>$12,295</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-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>For Senior Floating Rate II, the Manager voluntarily agreed to waive</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expenses in order to limit total annual Fund operating expenses (excluding</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest expense, acquired fund fees and expenses and certain other</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expenses) to 1.83% of the Fund&#146;s average daily net assets. This voluntary</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>waiver may be reduced or discontinued at any time without notice.</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 year ended August 31, 2010, BRIL received early withdrawal</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>amounts of $194,631 and $31,798, 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>BNY Mellon Investment Servicing (US) Inc. (formerly PNC Global Investment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Servicing (U.S.) Inc. (&#147;PNCGIS&#148;)) serves as transfer agent and dividend dis-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>bursing agent for Senior Floating Rate and Senior Floating Rate II. On July</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1, 2010, the Bank of New York Mellon Corporation purchased PNCGIS,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which prior to this date was an indirect, wholly owned subsidiary of PNC</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and an affiliate of the manager. Transfer agency fees borne by each Fund</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are comprised of those fees charged for all shareholder communications</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>including mailing of shareholder reports, dividend and distribution notices,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and proxy materials for shareholder meetings, as well as per account</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and per transaction fees related to servicing and maintenance of share-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>holder accounts, including the issuing, redeeming and transferring of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shares, check writing, anti-money laundering services, and customer</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>identification services. Pursuant to written agreements, certain financial</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>intermediaries, some of which may be affiliates, provide the Funds with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sub-accounting, recordkeeping, sub-transfer agency and other administra-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tive services with respect to sub-accounts they service. For these services,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>these entities receive a fee that could vary depending on, among other</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>things, shareholder accounts and net assets. For the year ended August</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31, 2010, the Funds paid the following to affiliates in return for these serv-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ices, which is included in transfer agent in the Statements of Operations:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="57%"></TD>
     <TD width="42%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$26,619</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate II</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,188</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>positive cash balances in demand deposit accounts that are maintained</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the transfer agent on behalf of the Funds. These amounts are included</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in dividends &#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 trustees 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' Chief Compliance Officer.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>62 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_64"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 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>4. Income Tax Information:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Reclassifications: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These reclassifications have no effect on net assets or net asset values per share. The following permanent differences as of August 31, 2010 attributable to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the accounting for swap agreements, amortization and accretion methods on fixed income securities, foreign currency transactions, non-deductible expenses,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities in default, income recognized from pass-through entities and the expiration of capital loss carryforwards were reclassified to the following accounts:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="38%"></TD>
     <TD width="13%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="8%"></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><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=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><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>Floating Rate</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>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>
     <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>Paid-in capital</FONT>&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>$ (51)</FONT>&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>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(87,904,360)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (864,401)</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>$ 317,651</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 502,590</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 986,895</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,149,666</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 765,561</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 477,850</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>$ (317,154)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(502,539)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (986,809)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(1,149,666)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accumulated net realized loss allocated from the Master LLC</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 9px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 87,138,799</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 386,551</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The tax character of distributions paid during the fiscal years ended August 31, 2010 and August 31, 2009 were as follows:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="28%"></TD>
     <TD width="21%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD 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>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=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=center><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>&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;&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>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>
     <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>Ordinary 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>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/31/2010</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,270,058</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9,834,088</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$17,335,715</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$33,200,685</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14,620,743</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,072,114</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/31/2009</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,810,137</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,947,075</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,842,077</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,793,064</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,470,993</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,332,675</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 align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/31/2010</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>666,707</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>378,219</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 style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/31/2009</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>
     <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>
     <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></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total distributions</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/31/2010</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,270,058</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10,500,795</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$17,713,934</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$33,200,685</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14,620,743</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,072,114</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/31/2009</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9,898,461</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16,830,065</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$23,842,077</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$42,793,064</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$17,470,993</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8,332,675</FONT>&nbsp;</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>As of August 31, 2010, the tax components of accumulated net losses 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=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=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=center><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>&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;&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>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>
     <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>Undistributed ordinary income</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 783,185</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>$ 6,741,043</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,046,197</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 609,087</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital loss carryforwards</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,425,448)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (78,190,159)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (66,112,036)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(69,440,070)</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(235,833,555)</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(55,763,582)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized losses*</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(106,390)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,886,445)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19,670,601)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19,261,907)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(26,454,179)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,873,063)</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>$ (5,748,653)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(100,076,604)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (85,782,637)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (81,960,934)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(260,241,537)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(67,027,558)</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The differences between book-basis and tax-basis net unrealized losses were attributable primarily to the tax deferral of losses on wash sales, amortization and accretion methods</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of premiums and discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/(losses) on certain futures</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and foreign currency contracts, the deferral of post-October capital losses for tax purposes, the timing and recognition of partnership income, the accounting for swap agreements,</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the deferral of compensation to directors and investment in wholly owned subsidiaries.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>As of August 31, 2010, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="26%"></TD>
     <TD width="24%"></TD>
     <TD width="9%"></TD>
     <TD width="10%"></TD>
     <TD width="9%"></TD>
     <TD width="10%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&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>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=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><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=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BHL</FONT></B>&nbsp;&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>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>
     <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>2011</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>$ 53,409,203</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$17,719,049</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2012</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,221,818</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,383,383</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2013</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 691,829</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;</TD>
     <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=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>
     <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=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>
     <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=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>
     <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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,063,204</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,249,830</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,954,032</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,996,868</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,221,457</FONT>&nbsp;</TD>
     <TD 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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2018</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,362,244</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>52,502,532</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>43,990,722</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,509,275</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,888,146</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,009,722</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>$6,425,448</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$78,190,159</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$66,112,036</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$69,440,070</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$235,833,555</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$55,763,582</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>63</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_65"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 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>5. 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 dol-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lar roll transactions and excluding short-term securities and US government</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities for the year ended August 31, 2010, were as follows:</FONT></P>
<DIV align=left>
<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>$ 148,261,977</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 149,139,878</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>$ 175,112,348</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 163,150,527</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>$ 317,381,863</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 300,351,367</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>$1,898,197,381</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,773,221,178</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the year ended August 31, 2010, purchases and sales of US govern-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment securities for BLW were $888,945 and $5,380,372, respectively.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the year ended August 31, 2010, purchases and sales for BLW attribut-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>able to mortgage dollar rolls were $964,747,938 and $967,272,250,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respectively.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>6. Commitments:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may invest in floating rate loan interests. In connection with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>these investments, the Funds may also enter into unfunded loan commit-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments (&#147;commitments&#148;). Commitments may obligate the Funds 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 Funds earn a com-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mitment fee, typically set as a percentage of the commitment amount.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Such fee income, which is classified in the Statements of Operations</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as facility and other fees, is recognized ratably over the commitment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period. As of August 31, 2010, the Funds had the following unfunded</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan commitments:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="40%"></TD>
     <TD width="38%"></TD>
     <TD width="20%"></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>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;&nbsp;&nbsp; </TD>
     <TD 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 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=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitment</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>Loan</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=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, LLC</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 217,219</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 220,907</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi Holdings LLP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 122,764</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 116,012</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Airlines, Inc.</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 950,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 919,407</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>Horizon Lines, 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>$ 142,723</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 129,637</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, LLC</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 183,801</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 186,919</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi Holdings LLP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 122,764</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 116,012</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Airlines, Inc.</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,025,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 995,255</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>Horizon Lines, 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>$ 142,723</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 129,442</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>CII Investment, LLC</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 384,311</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 390,828</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi Holdings LLP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 306,910</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 290,030</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Airlines, Inc.</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 925,000</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 892,525</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>Horizon Lines, 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>$ 285,446</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 259,179</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 Holdings LLP</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 613,821</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 580,061</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>Delta Airlines, 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>$4,750,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$4,610,077</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>7. Concentration, 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 (issuer</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit risk). The value of securities held by the Funds 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></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>whose securities are owned by the Funds; conditions affecting the general</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>economy; overall market changes; local, regional or global political, social</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or economic instability; and currency and interest rate and price fluctua-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions. Similar to issuer credit risk, the Funds may be exposed to counter-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>party credit risk, or the risk that an entity with which the Funds have</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unsettled or open transactions may fail to or be unable to perform on its</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commitments. The Funds manage counterparty credit risk by entering into</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transactions only with counterparties that they believe have the financial</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>resources to honor their obligations and by monitoring the financial stability</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of those counterparties. Financial assets, which potentially expose the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds to market, issuer and counterparty credit risks, consist principally of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial instruments and receivables due from counterparties. The extent</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the Funds' exposure to market, issuer and counterparty credit risks with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respect to these financial assets is generally approximated by their value</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recorded in the Funds' Statements of Assets and Liabilities, less any collat-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>eral held by the Funds.</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-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>For the years shown, shares issued and outstanding increased by the fol-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lowing amounts as a result of dividend reinvestments:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="28%"></TD>
     <TD width="47%"></TD>
     <TD width="23%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><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>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>August 31, 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>52,693</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>72,267</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></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares issued and outstanding remained constant during the years ended</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>August 31, 2010 and 2009 for BLW.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>At August 31, 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>
<DIV align=left>
<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 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>9,017</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>64 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 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><BR>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="37%"></TD>
     <TD width="14%"></TD>
     <TD width="3%"></TD>
     <TD width="19%"></TD>
     <TD width="13%"></TD>
     <TD width="3%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</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=4 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=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>
     <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;&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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31, 2010</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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=center><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>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><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=center><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>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><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=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,423,990</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ 18,308,182</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,495,709</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ 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=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135,475</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,019,194</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><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=center>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><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=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,559,465</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,327,376</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,685,175</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center><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=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,801,031)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(50,873,171)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10,231,989)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><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=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,241,566)</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;$ (31,545,795)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,546,814)</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; $ (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=center>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center>&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=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,093,983</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$ 17,121,260</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,475,221</FONT>&nbsp;</TD>
     <TD colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ 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=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77,460</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>629,469</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><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=center>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><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=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,171,443</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,750,729</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,559,077</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center><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=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,249,989)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(26,508,193)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,697,156)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><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=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,078,546)</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;$ (8,757,464)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><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=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ (14,969,362)</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><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 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><BR>
<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 SSB Agreement allowed for the following maximum</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commitment amounts:</FONT></P>
<DIV align=left>
<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>Commitment</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>Amounts</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>$ 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=center><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=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$103,000,000</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-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 the 7-day, 30-day, 60-day or 90-day</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR. In addition, the Funds pay a facility fee and a commitment fee</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on SSB&#146;s total commitment to the Funds. The fees associated with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each of the agreements are included in the Statements of Operations as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrowing costs. Advances to the Funds as of August 31, 2010 are shown</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in the Statements of Assets and Liabilities as loan payable. The SSB</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Agreement was renewed for 364 days under substantially the same terms</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>effective March 4, 2010. The SSB Agreement allows for the following maxi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mum commitment amounts:</FONT></P>
<DIV align=left>
<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>Commitment</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>Amounts</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>$ 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=center><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=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$103,000,000</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-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></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or purchase, asset coverage with respect to the outstanding short-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>BLW borrowed under the Term Asset-Backed Securities Loan Facility</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(&#147;TALF&#148;). The TALF program was launched by the U.S. Department of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury and the Federal Reserve Board as a credit facility designed to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>restore liquidity to the market for asset-backed securities. The Federal</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reserve Bank of New York (&#147;FRBNY&#148;) provided up to $1 trillion in non-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recourse loans to support the issuance of certain AAA-rated asset-backed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities and commercial mortgage-backed securities (&#147;Eligible</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities&#148;). The Fund posted as collateral already-held Eligible Securities,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which were all commercial mortgage-backed securities, in return for a non-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recourse, 5-year term loan (&#147;TALF loan&#148;) in an amount equal to approxi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mately 85% of the value of such Eligible Securities. The TALF loan is shown</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as TALF loan at value on the Statements of Assets and Liabilities. The fol-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lowing is a summary of the outstanding TALF loan and related information</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as of August 31, 2010:</FONT></P>
<DIV align=left>
<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=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=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>Value</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=center><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</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" 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>$12,685,079</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=center><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>$15,666,293</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The non-recourse provision of the TALF loan 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 the TALF loan prior to the maturity date with no</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>penalty. Principal and interest due on the loan 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 of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.20% of the amount borrowed, which was expensed as incurred in the</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>65</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_67"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (concluded)</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 loan 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 loan 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 loan 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 loan 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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>valued. The TALF loan is valued utilizing quotations received from a board</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>approved pricing service. TALF-eligible Asset-Backed Securities/Commercial</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mortgage-Backed Securities (&#147;ABS/CMBS&#148;) value may be affected by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>historic defaults and prepayments on the asset pool, expected future defa-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>luts and prepayments, current interest rate levels, current and forward</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>modeled ABS/CMBS spread levels. Accordingly, TALF loan valuation</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>methodologies may include, but are not limited to, the following inputs:</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) ABS/CMBS prepayment assumptions, (ii) discount rates and (iii) the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>non-recourse put option valuation. The resulting TALF loan valuation com-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>bines the present value of the future loan cash flows, plus the value of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the non-recourse option. The change in unrealized gain or loss associated</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with fair valuing the TALF loan will be reflected in the Statements of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Operations.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the year ended August 31, 2010, the daily weighted average interest</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates for Funds with loans under the revolving credit agreements were as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>follows:</FONT></P>
<DIV align=left>
<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>1.24%</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>1.31%</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>1.24%</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the year ended August 31, 2010, the daily weighted average interest</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate for BLW for reverse repurchase agreements, treasury rolls and TALF</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loans were as follows:</FONT></P>
<DIV align=left>
<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>1.08%</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-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'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' 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>On September 7, 2010, BLW repaid its outstanding TALF loan and the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>security posted as collateral was returned to the Fund. BLW funded</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the repayment of the TALF loan by entering into reverse repurchase</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreements.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>On September 2, 2010, the Board of each of Senior Floating Rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Senior Floating Rate II (the "Senior Floating Rate Funds") and on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>September 17, 2010 the Board of Trustees of BlackRock Funds II approved</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the reorganization of each Senior Floating Rate Fund into the BlackRock</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Income Portfolio, a series of BlackRock Funds II, with the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Portfolio being the surviving fund (the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#147;Reorganizations&#148;). The reorganizations are subject to shareholder approval</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and certain other conditions. If approved by shareholders, it is currently</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expected that each Reorganization would be completed in the first quarter</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of 2011.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each Senior Floating Rate Fund is a "feeder" fund that invests all of its</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets in the Master LLC. In connection with the Reorganizations, the Board</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the Master LLC approved the liquidation and dissolution of the Master</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC and the distribution of its assets in the event one or both of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reorganizations are approved by shareholders.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each Fund listed below paid a net investment income dividend on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>September 30, 2010 to shareholders of record on September 15, 2010</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as follows:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="41%"></TD>
     <TD width="58%"></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>Common Dividend</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>Per 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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0660</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>$0.0635</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>$0.0770</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>$0.0875</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>66 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Report of Independent Registered Public Accounting Firm</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>To the Shareholders and Board of Directors of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>BlackRock Diversified Income Strategies Fund, Inc.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Strategies Fund, Inc.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund, Inc. and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>BlackRock Senior Floating Rate Fund II, Inc.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>and to the Shareholders and Board of Trustees of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>BlackRock Defined Opportunity Credit Trust and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>BlackRock Limited Duration Income Trust</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>(collectively the &#147;Funds&#148;):</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>We have audited the accompanying statement of assets and liabilities,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>including the schedule of investments, of BlackRock Defined Opportunity</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Trust as of August 31, 2010, and the related statements of opera-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions and cash flows for the year then ended, the statements of changes</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in net assets for each of the two years in the period then ended, and the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial highlights for each of the two years in the period then ended, and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the period January 31, 2008 (commencement of operations) to August 31,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2008. We have also audited the accompanying statements of assets and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>liabilities, including the schedules of investments, of BlackRock Diversified</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income Strategies Fund, Inc. and BlackRock Floating Rate Income</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Strategies Fund, Inc. as of August 31, 2010, and the related statements</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of operations and cash flows for the year then ended, the statements of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>changes in net assets for each of the two years in the period then ended,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and the financial highlights for each of the five years in the period then</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ended. We have also audited the accompanying statement of assets and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>liabilities, including the schedule of investments, of BlackRock Limited</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Duration Income Trust as of August 31, 2010, and the related statements</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of operations and cash flows for the year then ended, the statements of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>changes in net assets for each of the two years in the period then ended,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and the financial highlights for each of the two years in the period then</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ended, the period November 1, 2007 to August 31, 2008, and each of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>three years in the period ended October 31, 2007. We have also audited</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the accompanying statements of assets and liabilities of BlackRock Senior</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Fund, Inc. and BlackRock Senior Floating Rate Fund II, Inc.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as of August 31, 2010, and the related statements of operations for the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>year then ended, the statements of changes in net assets for each of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>two years in the period then ended, and the financial highlights for each</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the five years in the period then ended. These financial statements and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial highlights are the responsibility of the Funds&#146; management. Our</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>responsibility is to express an opinion on these financial statements and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial highlights based on our audits.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>We conducted our audits in accordance with the standards of the Public</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Company Accounting Oversight Board (United States). Those standards</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>require that we plan and perform the audit to obtain reasonable assurance</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>about whether the financial statements and financial highlights are free</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of material misstatement. The Funds are not required to have, nor were we</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>engaged to perform an audit of their internal control over financial report-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing. Our audits included consideration of internal control over financial</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reporting as a basis for designing audit procedures that are appropriate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in the circumstances, but not for the purpose of expressing an opinion</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on the effectiveness of the Funds&#146; internal control over financial reporting.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accordingly, we express no such opinion. An audit also includes examining,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on a test basis, evidence supporting the amounts and disclosures in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial statements, assessing the accounting principles used and signifi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cant estimates made by management, as well as evaluating the overall</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial statement presentation. Our procedures included confirmation</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of securities owned as of August 31, 2010, by correspondence with the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>custodians, brokers and agent banks; where replies were not received</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>from brokers or agent banks, we performed other auditing procedures.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>We believe that our audits provide a reasonable basis for our opinion.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In our opinion, the financial statements and financial highlights referred</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to above present fairly, in all material respects, the financial positions of</FONT><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 as of August 31, 2010, the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>results of their operations and their cash flows for the year then ended,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the changes in their net assets for each of the two years in the period then</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ended, and the financial highlights for each of the periods presented, in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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. Additionally, in our opinion, the financial statements and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial highlights referred to above present fairly, in all material respects,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the financial positions 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. as of August 31, 2010, the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>results of their operations for the year then ended, the changes in their</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>net assets for each of the two years in the period then ended, and the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial highlights for each of the five years in the period then ended, in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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.</FONT></P>
<P style="TEXT-ALIGN: left"><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, New Jersey</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>October 30, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>67</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Important Tax Information</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following information is provided with respect to the ordinary income distributions paid by the Funds for the taxable year ended August 31, 2010:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="37%"></TD>
     <TD width="15%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="9%"></TD>
     <TD width="10%"></TD>
     <TD width="6%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&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=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&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>Floating</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>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>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate</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 II</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest-Related Dividends for Non-U.S. Residents*&#134;</FONT>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>September 2009 &#150; January 2010</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>71.65%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100.00%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>78.34%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73.88%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>86.42%</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>86.22%</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 2010 &#150; August 2010</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>88.90%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>88.36%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85.97%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>88.83%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>81.10%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>79.27%</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#134; Expressed as a percentage of the ordinary income distributions.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* Represents the portion of the taxable ordinary income dividends eligible for exemption from US withholding tax for nonresident aliens and foreign corporations.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>68 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="25%"></TD>
     <TD width="15%"></TD>
     <TD width="22%"></TD>
     <TD width="37%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=3 align=left><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Master Portfolio Summary </FONT><FONT color=#004a91 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of August 31, 2010</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 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" align=center><B><FONT color=#004a91 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>
     <TD 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>Percent of</FONT></B>&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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Long-Term Investments</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>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>8/31/10</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>
     <TD bgColor=#f1f1f2 align=left>&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 style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85%</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>91%</FONT>&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=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" bgColor=#f1f1f2 align=center><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15</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>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>69</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments </FONT><FONT color=#004a91 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>August 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B><BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="59%"></TD>
     <TD width="11%"></TD>
     <TD width="11%"></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=#004a91 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>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>15,290</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#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 bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest 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>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>309,538</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>725,695</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>881,768</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>1,607,463</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; 0.4%</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=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>1,640,923</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=center><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=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=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#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>Air Canada, 9.25%, 8/01/15 (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>900</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>882,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#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>Icahn Enterprises 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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><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>1,116,562</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><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 style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,238,750</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>3,355,312</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#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>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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 3/31/15 (b)(c)(d)</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>1,660,566</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><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>Wellman Holdings, Inc., Subordinate Note (d):</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="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Second Lien), 10.00%, 1/29/19 (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>2,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,740,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Third Lien), 5.00%, 1/29/19 (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>2,381</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>928,497</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>5,963,527</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#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>CIT Group, Inc., 7.00%, 5/01/17</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>1,200</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>1,128,374</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 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</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>1,640,000</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>1,081,500</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>2,721,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#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>Berry Plastics 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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 11/15/15</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>1,700</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,704,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.50%, 5/15/18 (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>960</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>883,200</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., 8.88%, 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>175</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>166,688</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>2,754,138</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 1.1%</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>Ally Financial Inc., 8.30%, 2/12/15 (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>2,100</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,184,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><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>155,282</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><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>1,705,085</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><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>262,321</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., 2.74%, 12/01/14 (e)</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>800</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>687,782</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>4,994,470</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="60%"></TD>
     <TD width="9%"></TD>
     <TD width="11%"></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>Par</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><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=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>Value</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#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>ITC Deltacom, Inc., 10.50%, 4/01/16</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>1,250</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><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 style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,290,000</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>2,521,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 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 colSpan=2 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=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>1,636,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#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>Rite Aid Corp., 8.00%, 8/15/20 (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>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>665,813</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food 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 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>1,220</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>1,361,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#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 Renal Holdings, 8.38%, 5/15/18 (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>485</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>485,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc., 7.25%, 9/15/20</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>1,695</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>1,771,275</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>2,256,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#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>MGM Resorts International, 11.13%, 11/15/17</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>1,030</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>1,151,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 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</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>2,590,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 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>1,368,268</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 1.7%</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>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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><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>3,270</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,433,500</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>Energy Future Holdings Corp., 10.00%, 1/15/20 (b)</FONT>&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>1,348,204</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>2,800</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>2,856,000</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>7,637,704</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 1.6%</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>Clear Channel Worldwide 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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.25%, 12/15/17</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>735</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>762,562</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 9.25%, 12/15/17</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>2,540</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,663,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DISH DBS Corp., 6.63%, 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>950</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>971,375</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>2,825,625</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>7,223,387</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#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>Coffeyville Resources LLC, 9.00%, 4/01/15 (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>540</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>554,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>OPTI Canada, Inc., 9.00%, 12/15/12 (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>2,120</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>2,125,300</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>2,680,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#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 style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 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 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>3,715</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>3,018,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#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>Phillips-Van Heusen Corp., 7.38%, 5/15/20</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>1,645</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>1,694,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 1.1%</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>Cricket Communications, Inc., 7.75%, 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>2,825</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,916,812</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nextel Communications, Inc., Series E, 6.88%,</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/31/13</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>1,525</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,521,187</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sprint Capital Corp., 8.38%, 3/15/12</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>675</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>713,813</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>5,151,812</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; 13.9%</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>62,756,243</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="33%"></TD>
     <TD width="7%"></TD>
     <TD width="22%"></TD>
     <TD width="14%"></TD>
     <TD width="22%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Abbreviations</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 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>British Pound</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>MSCI</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Morgan Stanley Capital International</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>FKA</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Formerly Known As</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>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>
<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>
     <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></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>70 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 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><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B><BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (e)</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>(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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#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>DynCorp International, Term Loan, 6.25%, 7/07/16</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>1,675</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,662,019</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Linked Deposit, 0.43%, 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>177</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>140,809</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.26% &#150; 2.53%, 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>2,916</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,323,106</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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><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>808</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>808,173</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><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>1,642</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>1,645,854</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>6,579,961</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 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; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.11% &#150; 2.28%, 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>1,455</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>1,391,344</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#151; 2.2%</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>Affinion Group, Inc., Tranche B Term Loan, 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/09/16</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>2,743</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,639,106</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, 3.04%, 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>7,273</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,701,352</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Exide Global Holdings Netherlands C.V., European</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrower, Term Loan, 3.94%, 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>559</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>655,284</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>9,995,742</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Automobiles &#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>Ford Motor Co.:</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="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 3.03%, 12/15/13</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>5,344</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,140,510</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 12/15/13</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>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>373,640</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>5,514,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building 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>Building Materials Corp. of America, Term Loan Advance,</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.06%, 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>492</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>483,083</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>5,678</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,698,083</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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 2.56%, 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>962</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>904,032</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 2.88%, 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>2,074</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>2,409,735</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>9,494,933</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#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>Marsico Parent Co., LLC, Term Loan, 5.31% &#150; 5.56%,</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><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>759</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>526,462</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 (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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.48% &#150; 3.53%, 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>2,274</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>2,007,718</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>2,534,180</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#151; 5.9%</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>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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acquisition Facility 1, 4.01% &#150; 4.48%, 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>76</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>74,704</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B2, 4.02% &#150; 4.06%, 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>1,551</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,531,297</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CF Industries, Inc., Term Loan B-1, 4.50%, 4/05/15</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>1,771</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,779,899</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.:</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="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Debtor in Possession Term Facility, 6.00%, 2/11/11</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>2,793,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Exit Term Loan, 5.50%, 8/16/16</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>2,510,417</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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><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>1,177</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,176,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Huish Detergents, Inc., Loan (Second Lien), 4.55%,</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>723,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lyondell Chemical Co., Exit Term Loan, 5.50%, 4/08/16</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>770</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>775,347</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MacDermid, Inc., Tranche C Term Loan, 2.27%,</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/12/14</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>1,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,152,794</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>3,589</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,600,711</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.), 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 3.52% &#150; 3.73%, 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>3,423</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,130,268</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,</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 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>2,245</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,244,159</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., Term Loan, 4.75%, 3/17/17</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>2,032</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,030,276</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:</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="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 11.25%, 9/20/10</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>2,404</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,423,651</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 11.25%, 9/20/10</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>646</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>651,130</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>26,598,153</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="71%"></TD>
     <TD width="10%"></TD>
     <TD width="18%"></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>Par</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (e)</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>Value</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#151; 1.3%</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>CIT Group, Inc., Tranche 3 Term Loan, 6.25%, 8/11/15 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>6,000</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>$ 5,980,440</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#151; 4.8%</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>ARAMARK Corp.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit-1 Facility, 0.11%, 1/26/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45,785</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit-2 Facility, 0.11%, 7/26/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>76</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73,619</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan, 2.41%, 1/26/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>670</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>633,110</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan B, 3.78%, 7/26/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,155</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,119,427</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AWAS Finance Luxembourg Sarl, Term Loan, 7.75%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/10/16</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>1,307,583</FONT>&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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.02%, 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>586,996</FONT>&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 Loan B, 6.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/14/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,294</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,293,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Altegrity, Inc., Incremental Term Loan, 7.75%, 2/21/15</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 bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,992,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Casella Waste Systems, Inc., Term Loan B, 7.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/09/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,411</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,418,179</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,105,959</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Diversey, Inc. (FKA Johnson Diversey, Inc.), Tranche B</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar Term Loan, 5.50%, 11/24/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,592</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,588,020</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International Lease Finance Corp., Term Loan 1,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 3/17/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,825</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,847,365</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Protection One, Inc., Term Loan, 6.00%, 6/04/16</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 bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,977,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/12/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>474</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>118,611</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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.27% &#150; 2.28%, 4/02/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,688</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,271,592</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>West Corp., Incremental Term Loan B-3, 7.25%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/24/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,078</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>3,067,268</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>21,447,014</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#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 bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safway Services, LLC, First Out Tranche Loan, 9.00%,</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; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/18/17</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>1,500,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#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>Fairmount Minerals Ltd., Term Loan B, 6.25%, 8/05/16</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>1,425,594</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#151; 2.5%</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>AGFS Funding Co., Term Loan, 7.25%, 4/21/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,925</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,842,766</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Daimler Chrysler Financial Services Americas LLC,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (Second Lien), 6.78%, 8/05/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,423</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>4,407,423</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>11,250,189</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#151; 0.8%</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>Anchor Glass Container Corp., Term Loan (First Lien),</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 3/02/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,089</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,078,005</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BWAY Holdings Co., Term Loan B, 5.50% &#150; 6.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/16/17</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>320</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>319,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berry Plastics Holding Corp., Term Loan C, 2.38%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/03/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,376</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,254,339</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, Term Loan C, 6.75%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/05/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>711</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>714,487</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ICL Industrial Containers ULC/ICL Contenants Industriels</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ULC (FKA BWAY), Term Loan C, 5.50% &#150; 6.00%, 6/16/17</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30</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>29,981</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>3,396,412</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#151; 2.9%</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>Coinmach Service Corp., Term Loan, 3.35%, 11/14/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,910</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,408,835</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, Series A New Term Loan, 7.00%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/15/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,404</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,296,604</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ServiceMaster Co.:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Term Loan, 2.77% &#150; 3.04%, 7/24/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,288</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,021,719</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.77%, 7/24/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>327</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>300,918</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>13,028,076</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>71</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_73"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B><BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<TABLE style="WIDTH: 457px; HEIGHT: 1636px" 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 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>Par</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (e)</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>(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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#151; 2.2%</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>MSCI, Inc., Term Loan, 4.75%, 6/01/16</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>1,970</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,975,809</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.:</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="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Incremental US Term Loan, 6.25%, 5/05/16</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>2,283,709</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Term Loan, 6.25%, 5/05/16</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>3,746</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,726,582</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Whitelabel IV SA:</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="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B1, 5.00%, 8/11/17</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>565</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>708,837</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B2, 5.00%, 8/11/17</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>935</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>1,173,030</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>9,867,967</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#151; 2.6%</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>Cincinnati Bell Inc., Tranche B Term Loan, 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/11/17</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>1,845</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,831,535</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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.75%, 5/30/14 (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>1,937</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,356,031</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, 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/15/15</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>1,596,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 Communications, Incremental 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.53% &#150; 2.78%, 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>4,825</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,322,143</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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.89%, 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>2,529,353</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>11,635,062</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#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>New Development Holdings LLC, 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 style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/03/17</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>3,250</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>3,282,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Baldor Electric Co., Term Loan, 5.25% &#150; 5.50%, 1/31/14</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>2,527</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>2,527,463</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp; Components &#151; 1.9%</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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CDW LLC (FKA CDW Corp.), Term Loan, 4.28%, 10/10/14</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,051</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,837,179</FONT>&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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Loan A, 2.53% &#150; 2.56%, 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>310</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>289,996</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Loan B, 2.56%, 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>1,606</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,546,332</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., Tranche B-1</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 6.75%, 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>2,202</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,188,780</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Styron Sarl, Term Loan, 7.50%, 6/17/16</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>2,700</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>2,721,087</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>8,583,374</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 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 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 style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><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" 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>1,920</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>1,915,374</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#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>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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.55%, 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>2,425</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,459,690</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 (First Lien), 5.50%,</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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/16</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>1,895</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,884,807</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, 2.51%, 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>1,368</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,307,754</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pierre Foods, Term Loan, 7.00%, 3/03/16</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>1,877</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,871,400</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 LLC, Initial 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 6/30/16</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>3,895</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,899,373</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., Term Loan B, 6.00%, 7/09/14</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>795</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>767,970</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>13,190,994</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#151; 2.2%</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., Tranche B-1 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00% &#150; 5.50%, 3/02/17</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>996</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>997,579</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michael Foods Group, Inc. (FKA M-Foods 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 6.25%, 6/29/16</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>1,600</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,601,142</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pilgrim's Pride Corp., Term Loan A, 5.53%, 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>2,085</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,064,150</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 D 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 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>2,837</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,840,546</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solvest Ltd. (Dole), Tranche C-1 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00% &#150; 5.50%, 3/02/17</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>2,475</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>2,479,016</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>9,982,433</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#151; 1.1%</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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Biomet, Inc., Dollar Term Loan, 3.26% &#150; 3.54%, 3/25/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,198</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,157,679</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 (FKA 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.26%, 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>2,137</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,027,498</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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-1 Dollar Term Loan, 4.50%, 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>1,131</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,132,619</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-2 Term Loan, 4.50%, 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>605</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>605,931</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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,923,727</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (e)</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>(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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#151; 4.9%</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>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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.55%, 7/25/14</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>295</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 278,558</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan Facility, 2.55%, 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>5,759</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,429,356</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, 1.77% &#150; 2.04%,</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><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>590,747</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gentiva Health Services, Inc., Term Loan B, 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/12/16</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>1,800</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,776,375</FONT>&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.:</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="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A-1 Term Loan, 2.03%, 11/16/12</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>5,185</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,988,629</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 2.78%, 11/18/13</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>250</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240,624</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2 Term Loan, 3.78%, 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>100</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>96,797</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>inVentiv Health, Inc. (FKA Ventive Health, 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 6.50%, 7/31/16</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>4,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,992,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Renal Advantage 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 6/03/16</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>1,900</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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vanguard Health Holding Co. II, LLC (Vanguard Health</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Systems, Inc.), Initial Term Loan, 5.00%, 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>2,807</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>2,774,298</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>22,067,884</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#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>IMS Health, Inc., Tranche B Dollar 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 style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 2/26/16</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>3,687</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>3,693,969</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#151; 4.8%</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>Harrah'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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 3.50% &#150; 3.53%, 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>2,953</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,522,848</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-4, 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>2,985</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,046,360</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, 2.01% &#150;</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.24%, 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>1,450</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,414,286</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>4,110</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,113,415</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Six Flags Theme Parks, 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 6.00%, 6/30/16</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>3,048</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,012,489</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Travelport LLC (FKA Travelport, 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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.76%, 8/23/13</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>795</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>754,290</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Original Post-First Amendment and Restatement</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="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit Loan, 3.03%, 8/23/13</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>76</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>71,831</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Dollar Term Loan, 2.76%, 8/23/13</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>419</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>395,585</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Universal City Development Partners, Ltd., 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 11/16/14</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>1,836</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,837,987</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 (FKA Venetian Macau):</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="TEXT-INDENT: 3px" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Delayed Draw Project Loan, 5.04%, 5/25/12</FONT>&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 bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,228,609</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Funded Project Loan, 5.04%, 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>3,512</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>3,450,883</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>21,848,583</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#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>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 style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25% &#150; 6.50%, 3/25/11</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>445</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>420,446</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Audio Visual Services Group, Inc., Tranche B Term Loan</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 2.79%, 2/28/14 (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>1,336</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>988,832</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, 3.26%, 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>2,194</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,951,927</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16</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>1,300</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,270,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data 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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan, 3.01%, 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>336</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>287,031</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.01%, 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>4,830</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,118,565</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.01%, 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>2,084</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,777,558</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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><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>2,967</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,963,046</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransUnion LLC, Term Loan, 6.75%, 6/15/17</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>3,000</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>3,027,189</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>16,384,898</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#151; 0.9%</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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Letter of Credit Facility, 4.02%, 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>716</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>703,573</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 4.02%, 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>57</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56,348</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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 3.79% &#150; 4.07%,</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="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><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>3,096</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,345,853</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.79% &#150; 4.03%,</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="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><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>1,121</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>844,609</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>3,950,383</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>72 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 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_74"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B><BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<TABLE style="WIDTH: 547px; HEIGHT: 1612px" 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 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>Par</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (e)</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>(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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#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 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, 3.79%, 12/03/14</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>8,633</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>$ 7,942,388</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#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>Alliant Holdings I, Inc., Term Loan, 3.53%, 8/21/14</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>1,668</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>1,584,273</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Leisure Equipment &amp; 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 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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Loan, 2.55%, 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>159</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>132,982</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Loan, 2.79%, 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>315</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>263,250</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>396,232</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#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>Oshkosh Truck Corp., Term Loan B, 6.44% &#150; 6.54%,</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; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/06/13</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>1,727</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>1,736,812</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Marine &#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>Horizon Lines, 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="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolving Loan, 3.52% &#150; 3.55%, 8/08/12</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>610</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>521,831</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 3.79%, 8/08/12</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>462</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>421,132</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>942,963</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#151; 13.4%</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>Cengage Learning Acquisitions, Inc. (Thomson Learning),</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche 1 Incremental Term Loan, 7.50%,</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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/03/14</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>5,540</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,521,540</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, New Term Loan, 2.30%,</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/05/13</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>425</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>408,293</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Charter Communications Operating, 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="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Term Loan, 2.26%, 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>947</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>895,882</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B1, 7.25%, 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>1,747</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,784,174</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 3.79%, 9/06/16</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>7,859</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,517,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clarke American Corp., Term Loan B, 2.76%, 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>2,261</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,948,922</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FoxCo Acquisition Sub, LLC, Term Loan, 7.50%, 7/14/15</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>1,547</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,488,086</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Publishing Co., Ltd., Tranche A Term Loan, 5.79%,</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/12/14 (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>3,237</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,947,017</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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-A Term Loan, 3.03%, 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>547</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>517,102</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-B Term Loan, 3.03%, 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>547</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>516,789</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2-C Term Loan, 3.03%, 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>547</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>516,789</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Subsidiary Holding Co. Ltd., 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.03%, 7/03/13</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>206</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>196,073</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interactive Data Corp., Term Loan, 6.75%, 1/29/17</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>2,100</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,112,249</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, 2.27%, 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>685</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>609,177</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 6.89%, 3/01/13 (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>1,336</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,135,420</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 Communications,</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D Term Loan, 5.50%, 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>1,489</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,458,491</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche E Term Loan, 4.50%, 10/23/17</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>1,850</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,745,906</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, 6.78%, 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>2,512,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A Dollar Term Loan, 2.29%, 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>68</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,191</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B Dollar Term Loan, 4.04%, 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>3,379</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,265,319</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class C Dollar Term Loan, 4.04%, 5/28/16</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>1,100</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,055,527</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., Term Loan (First Lien), 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8/01/14 (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>486</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>335,005</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Regal Cinemas Corp., Term Loan, 4.03%, 11/19/16</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>1,471</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,452,921</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>Sinclair Television Group, Inc., New Tranche B 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>1,841</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,842,443</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 7/01/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><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>4,261,976</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. (FKA 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 5.68%, 6/01/12</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>2,157</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,011,809</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 Holdings Corp., Replacement Term Loans, 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>3,542</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,537,760</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>UPC Financing Partnership, Facility U, 4.64%, 12/31/17 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>2,470,334</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., Facility 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.78%, 12/31/15</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><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>3,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,460,064</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/Yell Finance (UK) Ltd., Facility A3,</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.60%, 8/09/11</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>1,641</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>1,583,203</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left></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 bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>60,172,962</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE style="WIDTH: 548px; HEIGHT: 1405px" 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 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>Par</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (e)</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>(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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#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>Energy Transfer Equity, LP, Term Loan, 2.02%, 11/01/12</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>750</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 734,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 0.41%, 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>6</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,612</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Advance (First Lien), 3.06%, 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>367</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>340,411</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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 0.28%, 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 style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64,156</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>1,144,242</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#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>Dollar General Corp., Tranche B-2 Term Loan, 3.01% &#150;</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.03%, 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>1,450</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,396,141</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hema Holding BV:</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="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B, 2.65%, 7/06/15</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>861</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,032,557</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C, 3.40%, 7/05/16</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>861</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,032,558</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, 2.30%,</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/06/13</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>2,123</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>2,012,012</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>5,473,268</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#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>Big West Oil, LLC, Term Loan, 12.00%, 7/23/15</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>1,075</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>1,087,989</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest 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>Georgia-Pacific 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="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 2.30% &#150; 2.53%, 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>590</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>580,944</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 2.30% &#150; 2.53%, 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>1,290</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>1,271,348</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>1,852,292</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Personal Products &#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>American Safety Razor Co., LLC, 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 style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 7/31/13</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>178</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>163,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#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 bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Co., LLC, Term Loan A, 6.00%, 10/30/14</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>1,356</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,353,597</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott 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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Additional Term Loan, 6.25%, 4/30/15</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>773</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>771,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 6.25%, 4/30/15</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>579</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>578,310</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 6.25%, 4/30/15</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>964</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>962,880</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 6.50%, 2/20/16</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>547</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>549,243</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-4, 6.50%, 2/20/16</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>178</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>178,214</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>4,393,807</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#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>Booz Allen Hamilton, 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 style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B Term Loan, 7.50%, 7/31/15</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>2,350</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,353,038</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C Term Loan, 6.00%, 7/31/15</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>150</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>149,963</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>2,503,001</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#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>Mattamy Funding Partnership, Term Loan, 2.56%,</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="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/11/13</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>389</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>358,198</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>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan B, 3.30% &#150; 3.53%,</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="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/10/13</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>5,430</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,685,244</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Term Loan B, 3.30%, 10/10/13</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>3,011</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,598,289</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synthetic Letter of Credit, 0.11%, 10/10/13</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>516</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>445,411</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>8,087,142</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#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>Freescale Semiconductor, Inc., Extended 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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.56%, 12/01/16</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>955</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>853,979</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#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>Telcordia Technologies, Inc., 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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/30/16</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>2,195</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,192,672</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vertafore, Inc., Term Loan B, 6.75%, 7/28/16</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>1,140</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>1,132,875</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>3,325,547</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>73</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_75"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B><BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="53%"></TD>
     <TD width="10%"></TD>
     <TD width="16%"></TD>
     <TD width="19%"></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>Par</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (e)</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>(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=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bass Pro Group LLC, Term Loan, 5.00% &#150; 5.75%,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/10/15</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>USD 539</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 538,475</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>Burlington Coat Factory Warehouse Corp., Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.54% &#150; 2.66%, 5/28/13</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>740</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>701,022</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>General Nutrition Centers, Inc., Term Loan, 2.52% &#150;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.79%, 9/16/13</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>256</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>242,141</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, 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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-1, 2.63% &#150; 2.81%, 10/31/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,691</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,595,070</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 4.88% &#150; 5.06%, 7/31/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,040</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,003,198</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>Toys 'R' US, Inc., Term Loan B, 6.00%, 8/17/16</FONT>&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 style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,493,735</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>6,573,641</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#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 colSpan=2 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 bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,382</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,391,590</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>Phillips Van Heusen Corp., US Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 5/06/16</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>2,437</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>2,450,219</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>3,841,809</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#151; 2.2%</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 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cavtel Holdings, LLC, Term Loan, 10.50%, 12/31/12 (c)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>707</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>668,230</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>Digicel International Finance Ltd., US Term Loan</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Non-Rollover), 3.06%, 3/30/12</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>6,574</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,417,396</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.:</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 2.56%, 11/03/13</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>227</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220,697</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>Tranche B-2 Term Loan, 3.81%, 11/03/16</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,475</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>2,427,072</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>9,733,395</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; 83.5%</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>376,220,587</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=center><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=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><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 (f)</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>(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=#004a91 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>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J.G. Wentworth LLC Preferred Equity Interests (g)</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>2,022,221</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=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>2,022,221</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 (h)</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>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=#004a91 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>
     <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 Holdings 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="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Expires 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>7,419</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 style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Expires 9/30/14)</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>41,217</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>412</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=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>486</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>
     <TD bgColor=#f1f1f2 align=left>&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>(Cost &#151; $467,617,315) &#151; 98.2%</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>442,640,460</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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares/</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=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><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=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><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>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=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=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class, 0.25% (i)(j)</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>23,631,517</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,631,517</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>Bank of New York Cash Reserves, 0.01% (j)</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>491</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>491,479</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 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></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; $24,122,996) &#151; 5.4%</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>24,122,996</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments (Cost &#151; $491,740,311*) &#151; 103.6%</FONT></B>&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>466,763,456</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#151; (3.6)%</FONT></B>&nbsp;</TD>
     <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>(16,376,276)</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 &#151; 100.0%</FONT></B>&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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$450,387,180</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The cost and unrealized appreciation (depreciation) of investments as of August 31,</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2010, as computed for federal income tax purposes, were as follows:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="57%"></TD>
     <TD width="42%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 487,059,138</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,631,672</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(26,927,354)</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 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>$ (20,295,682)</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a) Non-income producing security.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) Represents a payment-in-kind security which may pay interest/dividends in</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional face/shares.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Convertible security.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Variable rate security. Rate shown is as of report date.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Other interests represent beneficial interest in liquidation trusts and other reorgani-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>zation entities and are non-income producing.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) The investment is held by a wholly owned taxable subsidiary of the Master LLC.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) Warrants entitle the Master LLC to purchase a predetermined number of shares of</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>common stock and are non-income producing. The purchase price and number of</FONT><BR>
<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><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if any.</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) Investments in companies considered to be an affiliate of the Master LLC during the</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amended, were as follows:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="2%"></TD>
     <TD width="7%"></TD>
     <TD width="14%"></TD>
     <TD width="6%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD>
     <TD width="2%"></TD>
     <TD width="18%"></TD>
     <TD width="16%"></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 colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&nbsp;</TD>
     <TD style="TEXT-INDENT: 3px" bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&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 colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31, 2009</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" bgColor=#f1f1f2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>August 31, 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>Income</FONT></B>&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>BlackRock Liquidity</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds, TempFund,</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center>&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; TEXT-INDENT: 2px" bgColor=#f1f1f2 colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33,608,423</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>(9,485,427)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=center>&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>24,122,996</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&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>$ 39,092</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=6 align=left><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 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=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 August 31, 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=center><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=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=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Appreciation</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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=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" bgColor=#f1f1f2 colSpan=2 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Depreciation)</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15,829,072</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>12,523,000</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/15/10</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT> (40,364)</FONT>&nbsp;&nbsp;&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&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>581,968</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>614,500</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10/20/10</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,166</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&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>8,033,312</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>GBP</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>5,262,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</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>10/20/10</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>(34,708)</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>$ (68,906)</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-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>For Master LLC compliance purposes, the Master LLC's industry classifications refer</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to any one or more of the industry sub-classifications used by one or more widely</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recognized market indexes or rating group indexes, and/or as defined by Master LLC</FONT><BR>
<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><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>combine such industry sub-classifications for reporting ease.</FONT><BR>
<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>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 and derivatives, 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 in active 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's own assumptions used in determining the fair value of investments</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and derivatives)</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's policy regarding valuation of investments and derivatives and other</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>significant accounting policies, please refer to Note 1 of the Notes to Financial</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>74 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 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_76"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (concluded)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of August 31, 2010 in determin-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing the fair valuation of the Master LLC's investments and derivatives:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="22%"></TD>
     <TD width="2%"></TD>
     <TD width="18%"></TD>
     <TD width="19%"></TD>
     <TD width="20%"></TD>
     <TD width="16%"></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=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 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=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=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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments in</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 style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities:</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 style="TEXT-INDENT: 1px" 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></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" 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=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 725,695</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 899,938</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15,290</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT> 1,640,923</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" 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=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>.</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>56,792,716</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,963,527</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,756,243</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" 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></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan Interests</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>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>327,624,962</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48,595,625&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;376,220,587</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" 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=left>&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>2,022,221</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,022,221</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warrants</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>&#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>486</FONT>&nbsp;</TD>
     <TD 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="TEXT-INDENT: 1px" 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></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</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>23,631,517</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>491,479</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>24,122,996</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>Liabilities:</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded 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>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitments</FONT>&nbsp;</TD>
     <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>&#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>&#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>(142,101)</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>(142,101)</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 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$24,357,212</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>$385,809,095</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>$56,455,048&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$466,621,355</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<TABLE style="WIDTH: 469px; HEIGHT: 332px" border=0 cellSpacing=0>
<TR>
     <TD width="24%"></TD>
     <TD width="17%"></TD>
     <TD width="22%"></TD>
     <TD width="12%"></TD>
     <TD width="8%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=6 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Derivative 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" 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=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" bgColor=#f1f1f2 align=center>&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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</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 style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</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 style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 6px" 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>$ 6,166</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;&nbsp;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT> 6,166</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>Liabilities:</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 6px" 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>(75,072)</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>(75,072)</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; TEXT-INDENT: 6px" 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>$ (68,906)</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;&nbsp;</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$</FONT> (68,906)</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivative financial instruments are foreign currency exchange contracts. Foreign</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts are valued at the unrealized appreciation/depreci-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ation on the instrument.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="32%"></TD>
     <TD width="11%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></TD>
     <TD width="8%"></TD>
     <TD width="9%"></TD>
     <TD width="9%"></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>Common</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other</FONT></B>&nbsp;</TD>
     <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>&nbsp;Unfunded Loan</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 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" bgColor=#f1f1f2 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" bgColor=#f1f1f2 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" bgColor=#f1f1f2 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" bgColor=#f1f1f2 align=center><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=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitments</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>Total</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets/Liabilities:</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 bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 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>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 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>$ (112,385)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$104,386,587</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>118,114</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>976,599</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,094,713</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 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>4</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19,835,811)</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19,835,807)</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><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>(1,042)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(669,032)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,312,040</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,245,101</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>(29,716)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,857,351</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</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>97,088</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,379,175</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,476,263</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8)&nbsp;&nbsp;&nbsp;&nbsp; (110,852,043)</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(110,852,051)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</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>&#151;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,006,365</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>$ 486</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>22,006,851</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</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>&#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>&#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>(13,678,859)</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>&#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>&#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>(13,678,859)</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 August 31, 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>$ 15,290</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>$ 5,963,527</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>$ 48,595,625</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>$ 2,022,221</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>$ (142,101)</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>$ 56,455,048</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 Statement of Operations. The change in unrealized appreciation/depreciation on securities</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>still held at August 31, 2010 was $2,478,728.</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 Master LLC&#146;s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>75</FONT></P>
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<TR>
     <TD width="58%"></TD>
     <TD width="41%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#004a91 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=#004a91 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>August 31, 2010</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><B><FONT color=#004a91 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 &#151; unaffiliated (cost &#151; $468,108,794)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 443,131,939</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 &#151; affiliated (cost &#151; $23,631,517)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,631,517</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>6,166</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; $134,185)</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>131,146</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 &#151; unaffiliated</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,302,665</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 &#151; affiliated</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>122,574</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>4,040,267</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>978,783</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>3,172</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 style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,895</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>485,364,124</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#004a91 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>75,072</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>142,101</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>33,927,766</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment advisory fees payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>360,247</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deferred income</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240,821</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>1,420</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Directors' fees payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>Other accrued expenses payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>209,976</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>19,041</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>34,976,944</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>$ 450,387,180</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#004a91 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>$ 475,562,640</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>(25,175,460)</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>$ 450,387,180</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>76 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<TR>
     <TD width="60%"></TD>
     <TD width="28%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statement </FONT><B><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>of Operations</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=right><B><FONT color=#004a91 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>Year Ended August 31, 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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#004a91 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>
     <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=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 28,267,640</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends &#151; affiliated</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>39,092</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 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>634,187</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 1px solid" 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>28,940,919</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#004a91 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>
     <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=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,328,391</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Professional</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>192,941</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=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>157,066</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=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>58,542</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Directors</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>46,888</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=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,491</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Miscellaneous</FONT>&nbsp;</TD>
     <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>93,318</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses excluding interest expense</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>4,883,637</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 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>16,110</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=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,899,747</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 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>(17,708)</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 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>4,882,039</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 1px solid" 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>24,058,880</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#004a91 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>
     <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 gain (loss) from:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(26,940,752)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</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>(500,317)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" 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=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>2,766,574</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <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>(24,674,495)</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>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,104,034</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</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>290,086</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" 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=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>167,412</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded loan commitments</FONT>&nbsp;</TD>
     <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>(29,716)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <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>51,531,816</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 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>26,857,321</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 Increase in Net Assets Resulting from Operations</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" 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>$ 50,916,201</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Changes in Net Assets</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 colSpan=2 align=right><B><FONT color=#004a91 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 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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Year Ended 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>2010</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" 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; TEXT-INDENT: 3px" align=left><B><FONT color=#004a91 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>$ 24,058,880</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>(24,674,495)</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>51,531,816</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>50,916,201</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; TEXT-INDENT: 3px" align=left><B><FONT color=#004a91 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>35,429,443</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>(99,242,421)</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>(63,812,978)</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; TEXT-INDENT: 3px" align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</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>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>(12,896,777)</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 year</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=right><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 year</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>$ 450,387,180</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=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 align=right>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>77</FONT></P>
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     <TD bgColor=#f1f1f2 align=left><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statement of Cash Flows</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><B><FONT color=#004a91 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>Year Ended August 31, 2010</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; TEXT-INDENT: 3px" align=left><B><FONT color=#004a91 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</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 50,916,201</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 increase 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 style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><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>(69,121)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><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>(3,172)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><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>189,286</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in prepaid expenses</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,319</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in investment advisory fees payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,278)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in other affiliates payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(22)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in other accrued expenses payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>99,883</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><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 style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in other liabilities</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,439</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in Officers and Directors&#146; fees payable</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(225)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(22,827,660)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net periodic and termination payments of swaps</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 style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amortization of premium and accretion of discount on investments</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,807,664)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><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>(342,391)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>506,123,724</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>(474,752,189)</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 sales 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>9,485,427</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>64,030,792</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#004a91 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>Cash receipts from contributions</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35,198,915</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 withdrawals</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(99,242,421)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 on 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>(64,043,506)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#004a91 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>(3,024)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#004a91 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 decrease in cash and foreign currency</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(15,738)</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 and foreign currency at beginning of year</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 and foreign currency at end of year</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>$ 131,146</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#004a91 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></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>78 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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     <TD bgColor=#f1f1f2 align=left><FONT color=#004a91 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 colSpan=3 align=right><B><FONT color=#004a91 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 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=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" 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>2010</FONT></B>&nbsp;&nbsp;&nbsp;&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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#004a91 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></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>11.67%</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>(4.23)%</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>(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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#004a91 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></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>1.08%</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>1.05%</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></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>&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></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>1.07%</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>1.02%</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></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>5.29%</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>6.44%</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></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><B><FONT color=#004a91 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></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 year (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>$ 450,387</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></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>108%</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></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 year (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>$ 1,044</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></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>79</FONT></P>
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<A name="page_81"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>1. Organization and Significant Accounting Policies:</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC (the &#147;Master LLC&#148;) is registered under the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment Company Act of 1940, as amended (the &#147;1940 Act&#148;), and is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>organized as a Delaware limited liability company. The Limited Liability</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Company Agreement permits the Board of Directors (the &#147;Board&#148;) to issue</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>non-transferable interests in the Master LLC, subject to certain limitations.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC&#146;s financial statements are prepared in conformity with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accounting principles generally accepted in the United States of America,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which may require management to make estimates and assumptions that</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>affect the reported amounts and disclosures in the financial statements.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Actual results could differ from those 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 fair values its financial instruments at market</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value using independent dealers or pricing services under policies</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>approved by the Board. The Master LLC values its bond investments on the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>basis of last available bid prices or current market quotations provided by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>dealers or pricing services. Floating rate loan interests are valued at the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mean of the 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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in the market between investments and calculated yield measures based</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on 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 models that incorporate a number of market data</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>factors, such as discounted cash flows and trades and values of the under-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lying reference instruments. Investments in open-end investment compa-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>nies are valued at net asset value each business day. Short-term securities</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with remaining maturities of 60 days or less may be valued at amortized</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>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 mean 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 is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>an interim date for which quotations are not available.</FONT></P>
<P style="TEXT-ALIGN: left"><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 in accordance with a policy approved by the 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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the current sale of that asset in an arm&#146;s-length transaction. Fair value</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>determinations shall be based upon all available factors that the invest-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment advisor and/or sub-advisor deems relevant. The pricing of all Fair</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Value Assets is subsequently reported to the Board or a committee thereof.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Generally, trading in foreign instruments is substantially completed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each day at various times prior to the close of business on the NYSE.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Occasionally, events affecting the values of such instruments may occur</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between the foreign market close and the close of business on the NYSE</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that may not be reflected in the computation of 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 mate-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rially affect the value of such instruments, those instruments may be Fair</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Value Assets and be valued at their fair values, as determined in good faith</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the investment advisor using a pricing service and/or policies approved</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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>The Master LLC&#146;s books and records are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>maintained in US dollars. Purchases and sales of investment securities are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recorded at the rates of exchange prevailing on the date the transactions</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are entered into. Generally, when the US dollar rises in value against for-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>eign currency, the Master LLC&#146;s investments denominated in that currency</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>will lose value because its currency is worth fewer US dollars; the opposite</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>effect occurs if the US dollar falls in relative value.</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 gain (loss) for financial reporting purposes, whereas</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>such components are treated as ordinary income for federal income</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tax purposes.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC may invest in floating rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan interests. The floating rate loan interests the Master LLC holds are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>typically issued to companies (the &#147;borrower&#148;) 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 (the &#147;lender&#148;).</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating rate loan interests are generally non-investment grade, often</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>involve borrowers whose financial condition is troubled or uncertain and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>companies that are highly levered. The Master LLC may invest in obligations</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of borrowers who are in bankruptcy proceedings. Floating rate loan inter-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ests may include fully funded term loans or revolving lines of credit.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating rate loan interests are typically senior in the corporate capital</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>structure of the borrower. Floating rate loan interests generally pay interest</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>at rates that are periodically determined by reference to a base lending</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate plus a premium. The base lending rates are generally the lending rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>offered by one or more European banks, such as LIBOR (London Inter Bank</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Offered Rate), the prime rate offered by one or more US banks or the cer-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tificate of deposit rate. Floating rate loan interests may involve foreign</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>80 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrowers, and investments may be denominated in foreign currencies. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC considers these investments to be investments in debt securi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ties for purposes of its investment policies.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>When the Master LLC buys a floating rate loan interest 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 interest it may pay a facil-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ity fee. On an ongoing basis, the Master LLC may receive a commitment fee</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on the undrawn portion of the underlying line of credit amount of a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>floating rate loan interest. The Master LLC earns and/or pays facility and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other fees on floating rate loan interests, which are shown as facility and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other fees in the Statement of Operations. Facility and commitment fees</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are typically amortized to income over the term of the loan or term of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commitment, respectively. Consent and amendment fees are recorded to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income as earned. Prepayment penalty fees, which may be received by the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC upon the prepayment of a floating rate loan interest by a bor-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rower, are recorded as realized gains. The Master LLC may invest in multiple</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>series or tranches of a loan. A different series or tranche may have varying</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>terms and carry different associated risks.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating rate loan interests are usually freely callable at the borrower&#146;s</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>option. The Master LLC may invest in such loans in the form of participa-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions in loans (&#147;Participations&#148;) and assignments of all or a portion of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loans from third parties. Participations typically will result in the Master LLC</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>having a contractual relationship only with the lender, not with the bor-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rower. The Master LLC will have the right to receive payments of principal,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest and any fees to which it is entitled only from the lender selling the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Participation and only upon receipt by the lender of the payments from</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the borrower. In connection with purchasing Participations, the Master LLC</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>generally will have no right to enforce compliance by the borrower with the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>terms of the loan agreement, nor any rights of offset against the borrower,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and the Master LLC may not benefit directly from any collateral supporting</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the loan in which it has purchased the Participation. As a result, the Master</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC will assume the credit risk of both the borrower and the lender that is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>selling the Participation. The Master LLC&#146;s investment in loan participation</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interests involves the risk of insolvency of the financial intermediaries who</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are parties to the transactions. In the event of the insolvency of the lender</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>selling the Participation, the Master LLC may be treated as a general credi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tor of the lender and may not benefit from any offset between the lender</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 Securities and Exchange Commission (&#147;SEC&#148;)</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>require that the Master LLC either delivers collateral or segregates assets</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in connection with certain investments (e.g., swaps and foreign currency</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange contracts), the Master LLC will, consistent with SEC rules and/or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>certain interpretive letters issued by the SEC, segregate collateral or desig-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>nate on its books and records cash or other liquid securities having a mar-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ket value at least equal to the amount that would otherwise be required to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be physically segregated. Furthermore, based on requirements and agree-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments with certain exchanges and third party broker-dealers, each party</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>has requirements to deliver/deposit securities as collateral for certain</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments.</FONT></P>
<P style="TEXT-ALIGN: left"><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 subse-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quently recorded when the Master LLC has determined the ex-dividend</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>date. Interest income, including amortization of premium and accretion</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of discount on debt securities, is recognized on the accrual basis.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Consent fees are compensation for agreeing to changes in the terms</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of debt instruments and are included in facility and other fees in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Statement of Operations.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Income Taxes: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC is classified as a partnership for federal</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income tax purposes. As such, each investor in the Master LLC is treated as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>owner of its proportionate share of the net assets, income, expenses and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>realized and unrealized gains and losses of the Master LLC. Therefore, no</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>federal income tax provision is required. It is intended that the Master LLC&#146;s</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets will be managed so an investor in the Master LLC can satisfy the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>requirements of Subchapter M of the Internal Revenue Code of 1986,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as amended.</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. 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 Master LLC&#146;s US federal tax returns remains open for each of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the four years ended August 31, 2010. 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. There are no uncertain tax positions</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that require recognition of a tax liability.</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 the 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>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC engages in various portfolio investment strategies using</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>derivative contracts both to increase the returns of the Master LLC and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to economically hedge, or protect, its exposure to certain risks such as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit risk and foreign currency exchange rate risk. These contracts may be</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transacted on an exchange or over-the-counter (&#147;OTC&#148;).</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Losses may arise if the value of the contract decreases due to an unfavor-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>able change in the market rates or values of the underlying instrument or if</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the counterparty does not perform under the contract. The Master LLC&#146;s</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>maximum risk of loss from counterparty credit risk on OTC derivatives is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>generally the aggregate unrealized gain netted against any collateral</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pledged by/posted to the counterparty.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>81</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC may mitigate counterparty risk by procuring collateral and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>through netting provisions included within an International Swaps and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivatives Association, Inc. (&#147;ISDA&#148;) Master Agreement implemented</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between the Master LLC and each of its respective counterparties. The ISDA</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master Agreement allows the Master LLC to offset with each separate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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. The amount of collateral moved to/from</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>applicable counterparties is generally based upon minimum transfer</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amounts of up to $500,000. To the extent amounts due to the Master LLC</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>from its counterparties are not fully collateralized contractually or other-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>wise, the Master LLC bears 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. In addition, the Master LLC manages coun-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>terparty risk by entering into agreements only with counterparties that it</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>believes have the financial resources to honor their obligations and by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>monitoring the financial stability of those counterparties.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain ISDA Master Agreements allow counterparties to OTC derivatives</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to terminate derivative contracts prior to maturity in the event the Master</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC&#146;s net assets decline by a stated percentage or the Master LLC fails</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to meet the terms of its ISDA Master Agreements, which would cause</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Master LLC to accelerate payment of any net liability owed to the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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 enters 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 instruments or to obtain exposure to foreign cur-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rencies (foreign currency exchange rate risk). A foreign currency exchange</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contract is an agreement between two parties to buy and sell a currency at</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a set exchange rate on a future date. Foreign currency exchange contracts,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>when used by the Master LLC, help to manage the overall exposure to the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency backing some of the investments held by the Master LLC. The con-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tract is marked-to-market daily and the change in market value is recorded</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the Master LLC as an unrealized gain or loss. When the contract is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closed, the Master LLC records a realized gain or loss equal to the differ-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ence 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 the value of a foreign currency exchange contract changes</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unfavorably due to movements in the value of the referenced foreign cur-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rencies and the risk that a counterparty to the contract does not perform</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>its obligations under the agreement.</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 enters into swap agreements, in which the Master</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC and a counterparty agree to make periodic net payments on a speci-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fied notional amount. These periodic payments received or made by the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC are recorded in the Statement of Operations as realized gains</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or losses, respectively. Any upfront fees paid are recorded as assets and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>any upfront fees received are recorded as liabilities and amortized over the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>term of the swap. Swaps are marked-to-market daily and changes in value</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are recorded as unrealized appreciation (depreciation). When the swap is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>terminated, the Master LLC will record a realized gain or loss equal to the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>difference between the proceeds from (or cost of) the closing transaction</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and the Master LLC&#146;s basis in the contract, if any. Generally, the basis of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the contracts is the premium received or paid. Swap transactions involve,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to varying degrees, elements of interest rate, credit and market risk in</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>excess of the amounts recognized in the Statement of Assets and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may default on its obligation to perform or disagree as to the meaning</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the contractual terms in the agreements, and that there may be</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unfavorable changes in interest rates and/or market values associated</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with these transactions.</FONT></P>
<P style="TEXT-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 enters 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 Master LLC enters</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>into credit default agreements to provide a measure of protection</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>against the default of an issuer (as buyer protection) and/or gain credit</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exposure to an issuer to which it is not otherwise exposed (as seller of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>protection). The Master LLC may either buy or sell (write) credit default</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>swaps on single-name issuers (corporate or sovereign), a combination</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or basket of single-name issuers or traded indexes. Credit default</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>swaps on single-name issuers are agreements in which the buyer pays</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fixed periodic payments to the seller in consideration for a guarantee</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>from the seller to make a specific payment should a negative credit</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>event take place (e.g., bankruptcy, failure to pay, obligation accelerators,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>repudiation, moratorium or restructuring). Credit default swaps on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>traded indexes are agreements in which the buyer pays fixed periodic</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>payments to the seller in consideration for a guarantee from the seller</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to make a specific payment should a write-down, principal or interest</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shortfall or default of all or individual underlying securities included in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the index occurs. As a buyer, 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 receive from the seller an amount equal to the</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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, the Master LLC</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>will either pay the buyer an amount equal to the notional amount of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the swap and take delivery of the referenced security or underlying</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities comprising of an index or pay a net settlement of cash</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>equal to the notional amount of the swap less the recovery value</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>
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     <TD width="34%"></TD>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=5 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Derivative Instruments Categorized by Risk Exposure</FONT></B></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=5 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fair Values of Derivative Instruments as of August 31, 2010</FONT></B></TD></TR>
<TR>
     <TD colSpan=5>
<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 colSpan=2 align=right><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; TEXT-INDENT: 3px" bgColor=#f1f1f2 colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liability Derivatives</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Statement</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Statement</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=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>of Assets and</FONT></B>&nbsp;</TD>
     <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>of Assets and</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</FONT></B>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 1px" bgColor=#f1f1f2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</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>&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=right><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" 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=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 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized</FONT>&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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>appreciation</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depreciation</FONT>&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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on foreign</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on foreign</FONT>&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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>curency</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 exchange</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</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>contracts</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>$ 6,166</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>contracts</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>$ 75,072</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>82 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=-->
<A name="page_84"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>
<DIV align=left>
<TABLE style="WIDTH: 415px; HEIGHT: 343px" border=0 cellSpacing=0>
<TR>
     <TD width="54%"></TD>
     <TD width="27%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD bgColor=#f1f1f2 colSpan=3 align=center><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=3 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended August 31, 2010</FONT></B></TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#f1f1f2 colSpan=3 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=3>
<HR SIZE=1 noShade>
</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>Foreign</FONT></B>&nbsp;</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>Currency</FONT></B>&nbsp;</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>Exchange</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 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Swaps</FONT></B>&nbsp;&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>Contracts</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 style="TEXT-INDENT: 9px" bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,222,075</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>Credit contracts</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>$ (500,317)</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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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>$ (500,317)</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>$ 2,222,075</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<DIV align=left>
<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=#f1f1f2 colSpan=3 align=center><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Change in Unrealized Appreciation/Depreciation on</FONT></B></TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</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>Foreign</FONT></B>&nbsp;</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>Currency</FONT></B>&nbsp;</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>Exchange</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 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Swaps</FONT></B>&nbsp;&nbsp;&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>Contracts</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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#151;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 132,016</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>Credit contracts</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>
     <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;&nbsp;&nbsp;&nbsp;&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>$ 290,086</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>$ 132,016</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the year ended August 31, 2010, the average quarterly balances of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>outstanding derivative financial instruments were as follows:</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="73%"></TD>
     <TD width="26%"></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 style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#150; US dollars purchased</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#150; 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 style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><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>$29,323,146</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average US dollar amounts sold</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,999,899</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 default swaps:</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#150; buy protection</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 style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" bgColor=#f1f1f2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value &#150; buy protection</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>$ 813,750</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-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. (&#147;PNC&#148;), Bank of America</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporation (&#147;BAC&#148;) and Barclays Bank PLC (&#147;Barclays&#148;) are the largest</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>stockholders of BlackRock, Inc. (&#147;BlackRock&#148;). Due to the ownership struc-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ture, PNC is an affiliate of the Master LLC for 1940 Act purposes, but BAC</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Barclays are not.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Master LLC entered into an Investment Advisory Agreement with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Advisors, LLC (the &#147;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. The Manager is responsi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ble for the management of the Master LLC&#146;s portfolio and provides the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>necessary personnel, facilities, equipment and certain other services nec-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>essary to the operations of the Master LLC. For such services, the Master</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC pays the Manager a monthly fee at an annual rate of 0.95% of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC&#146;s average daily net assets.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Manager voluntarily agreed to waive its investment 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 investment advisory fees by the amount</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of investment advisory fees paid through the Master LLC&#146;s investment in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other affiliated investment companies, if any. This amount is shown as fees</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>waived by advisor in the Statement of Operations.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Manager entered into a sub-advisory agreement with BlackRock</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial Management, Inc. (&#147;BFM&#148;), an affiliate of the Manager. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Manager pays BFM for services it provides, a monthly fee that is a percent-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>age of the investment advisory fees paid by the Master LLC to the Manager.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the year ended August 31, 2010, the Master LLC reimbursed the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Manager $8,706 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><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 excluding</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>short-term securities, for the year ended August 31, 2010, were</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$486,070,510 and $515,641,944, 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>The Master LLC may invest in floating rate loan interests. In connection with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>these investments, the Master LLC may also enter into unfunded loan com-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mitments (&#147;commitments&#148;). Commitments may obligate the Master LLC to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>furnish 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>
<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 August 31, 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>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="40%"></TD>
     <TD width="39%"></TD>
     <TD width="20%"></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 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>Commitment</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>Loan</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>Horizon Lines, LLC</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 446,009</FONT>&nbsp;</TD>
     <TD bgColor=#f1f1f2 align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 404,584</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>Delta Airlines, 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>$3,350,000</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>$3,249,324</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><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>(issuer credit risk). The value of securities held by the Master LLC may</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>decline in response to certain events, including those directly involving the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>issuers whose securities are owned by the Master LLC; conditions affecting</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the general economy; overall market changes; local, regional or global</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>political, social or economic instability; and currency and interest rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and price fluctuations. Similar to issuer credit risk, the Master LLC may be</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exposed to counterparty credit risk, or the risk that an entity with which the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC has unsettled or open transactions may fail to or be unable to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>perform on its commitments. The Master LLC manages counterparty credit</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risk by entering into transactions only with counterparties that it believes</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>have the financial resources to honor their obligations and by monitoring</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the financial stability of those counterparties. Financial assets, which</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>potentially expose the Master LLC to market, issuer and counterparty credit</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risks, consist principally of financial instruments and receivables due from</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparties. The extent of the Master LLC&#146;s exposure to market, issuer</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and counterparty credit risks with respect to these financial assets is gen-</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>83</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (concluded)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>erally approximated by their value recorded in the Master LLC&#146;s Statement</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Assets and Liabilities, less any collateral held by the Master LLC.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>7. 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. Prior</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to its renewal the credit agreement had the following terms: 0.02% upfront</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fee on the aggregate commitment amount which was allocated to the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC based on its net assets as of October 31, 2008; a commitment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fee of 0.08% per annum based 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, which is included in miscellaneous</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in the Statement of Operations, and interest at a rate equal to the higher</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the (a) federal funds effective rate and (b) reserve adjusted one-month</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR, plus, in each case, the higher of (i) 1.50% and (ii) 50% of the CDX</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Index (as defined in the credit agreement) on amounts borrowed. Effective</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>November 2009, the credit agreement was renewed with the following</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>terms: 0.02% upfront fee on the aggregate commitment amount which was</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>allocated to the Master LLC based on its net assets as of October 31,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2009, a commitment fee of 0.10% per annum based on the Master LLC&#146;s</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pro rata share of the unused portion of the credit agreement, which is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>included in miscellaneous in the Statement of Operations, and interest at a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate equal to the higher of (a) the one-month LIBOR plus 1.25% per</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>annum and (b) the Fed Funds rate plus 1.25% per annum on amounts</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrowed. For the year ended August 31, 2010, the daily weighted average</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest rate was 1.54%.</FONT><BR>
<BR>
<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&#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>Master LLC&#146;s financial statements was completed through the date the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial statements were issued and the following items were noted:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>On September 2, 2010, the Board of each of Senior Floating Rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Senior Floating Rate II (the "Senior Floating Rate Funds") and on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>September 17, 2010 the Board of Trustees of BlackRock Funds II</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>approved the reorganization of each Senior Floating Rate Fund into the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds II,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with the BlackRock Floating Rate Income Portfolio being the surviving</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fund (the &#147;Reorganizations&#148;). The reorganizations are subject to shareholder</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>approval and certain other conditions. If approved by shareholders, it is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currently expected that each Reorganization would be completed in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>first quarter of 2011.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each Senior Floating Rate Fund is a "feeder" fund that invests all of its</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets in the Master LLC. In connection with the Reorganizations, the Board</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the Master LLC approved the liquidation and dissolution of the Master</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC and the distribution of its assets in the event one or both of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reorganizations are approved by shareholders.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>84 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Report of Independent Registered Public Accounting Firm</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>To the Investors and Board of Directors of Master Senior</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Floating Rate LLC:</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>We have audited the accompanying statement of assets and liabilities,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>including the schedule of investments, of Master Senior Floating Rate LLC</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(the &#147;Master LLC&#148;) as of August 31, 2010, and the related statements of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>operations and cash flows for the year then ended, the statements of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>changes in net assets for each of the two years in the period then ended,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and the financial highlights for each of the five years in the period then</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ended. These financial statements and financial highlights are the responsi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>bility of the Master LLC&#146;s management. Our responsibility is to express an</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>opinion on these financial statements and financial highlights based on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>our audits.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>We conducted our audits in accordance with the standards of the Public</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Company Accounting Oversight Board (United States). Those standards</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>require that we plan and perform the audit to obtain reasonable assurance</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>about whether the financial statements and financial highlights are free of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>material misstatement. The Master LLC is not required to have, nor were we</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>engaged to perform, an audit of its internal control over financial reporting.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Our audits included consideration of internal control over financial report-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing as a basis for designing audit procedures that are appropriate in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstances, but not for the purpose of expressing an opinion on the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>effectiveness of the Master LLC&#146;s internal control over financial reporting.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accordingly, we express no such opinion. An audit also includes examining,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on a test basis, evidence supporting the amounts and disclosures in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial statements, assessing the accounting principles used and signifi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cant estimates made by management, as well as evaluating the overall</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial statement presentation. Our procedures included confirmation of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities owned as of August 31, 2010, by correspondence with the cus-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>todian, brokers and agent banks; where replies were not received from bro-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>kers or agent banks, we performed other auditing procedures. We believe</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that our audits provide a reasonable basis for our opinion.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In our opinion, the financial statements and financial highlights referred to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>above present fairly, in all material respects, the financial position of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master Senior Floating Rate LLC as of August 31, 2010, the results of its</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>operations and its cash flows for the year then ended, the changes in its</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>net assets for each of the two years in the period then ended, and the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial highlights for each of the five years in the period then ended, in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deloitte &amp; Touche LLP</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Princeton, New Jersey</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>October 30, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>85</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Board of Directors and the Board of Trustees, as the case may be</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(each, a &#147;Board,&#148; and, collectively, the "Boards," and the members of which</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are referred to as "Board Members") of each of BlackRock Defined</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Opportunity Credit Trust (&#147;BHL&#148;), BlackRock Diversified Income Strategies</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund, Inc. (&#147;DVF&#148;), BlackRock Floating Rate Income Strategies Fund, Inc.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(&#147;FRA&#148;), BlackRock Limited Duration Income Trust (&#147;BLW&#148;) and Master</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Senior Floating Rate Fund LLC (the &#147;Master LLC&#148;) met on April 8, 2010 and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>May 13 &#151; 14, 2010 to consider the approval of its respective fund's</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment advisory agreement (each, an &#147;Advisory Agreement&#148;) with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Advisors, LLC (the &#147;Manager&#148;), each fund&#146;s investment advisor.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards of BHL, DVF, FRA, BLW and the Master LLC also considered the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>approval of the sub-advisory agreement (each, a &#147;Sub-Advisory</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Agreement&#148;) between the Manager and BlackRock Financial Management,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inc. (the &#147;Sub-Advisor&#148;), with respect to its fund. BlackRock Senior Floating</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rate Fund, Inc. (&#147;Senior Floating Rate&#148;) and BlackRock Senior Floating</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rate Fund II, Inc. (&#147;Senior Floating Rate II,&#148; and together with Senior</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate, each, a &#147;Feeder Fund&#148; and together, the &#147;Feeder Funds&#148;)</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currently invest substantially all of their investable assets in the Master LLC;</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accordingly, the Board of each of the Feeder Funds also considered the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>approval of the Master LLC's Advisory Agreement and Sub-Advisory</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Agreement. The Feeder Funds do not require investment advisory services</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>because all of their investments are made at the Master LLC level. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Feeder Funds, the Master LLC, BLW, BHL, DVF, and FRA are referred to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>herein individually as a "Fund" and, collectively, the &#147;Funds&#148;). The Manager</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and the Sub-Advisor are referred to herein as &#147;BlackRock.&#148; The Advisory</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Agreements and the Sub-Advisory Agreements are referred to herein as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the &#147;Agreements.&#148;</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Activities and Composition of the Board</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Board of each Fund consists of ten individuals, eight of whom are not</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#147;interested persons&#148; of such Fund as defined in the Investment Company</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Act of 1940 (the &#147;1940 Act&#148;) (the &#147;Independent Board Members&#148;). The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Board Members are responsible for the oversight of the operations of each</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund and perform the various duties imposed on the directors of invest-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment companies by the 1940 Act. The Independent Board Members have</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>retained independent legal counsel to assist them in connection with their</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>duties. The Chairman of the Boards is an Independent Board Member. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boards have established five standing committees: an Audit Committee, a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Governance and Nominating Committee, a Compliance Committee, a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Performance Oversight Committee and an Executive Committee, each of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which is composed of Independent Board Members (except for the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Executive Committee, which also has one interested Board Member) and is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>chaired by an Independent Board Member. The Boards also has one ad</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>hoc committee, the Joint Product Pricing Committee, which consists of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Independent Board Members and the directors/trustees of the boards of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>certain other BlackRock-managed funds, who are not &#147;interested persons&#148;</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of their respective funds.</FONT><BR>
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<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>The Agreements</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pursuant to the 1940 Act, the Boards are required to consider the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>continuation of the Agreements on an annual basis. In connection with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>this process, the Boards assessed, among other things, the nature, scope</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and quality of the services provided to the Funds by the personnel of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock and its affiliates, including investment management, administra-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tive and shareholder services, oversight of fund accounting and custody,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>marketing services and assistance in meeting applicable legal and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>regulatory requirements.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>From time to time throughout the year, each Board, acting directly and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>through its committees, considered at each of its meetings factors that are</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>relevant to its annual consideration of the renewal of the Agreements,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>including the services and support provided by BlackRock to the respective</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund and its shareholders. Among the matters the Board considered were:</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a) investment performance for one-, three- and five-year periods, as appli-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cable, against peer funds, and applicable benchmarks, if any, as well as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>senior management's and portfolio managers&#146; analysis of the reasons for</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>any over performance or underperformance against a Fund&#146;s peers and/or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>benchmark, as applicable; (b) fees, including advisory fees, administration</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fees in the case of the Feeder Funds and other amounts paid to BlackRock</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and its affiliates by each Fund for services such as call center and fund</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accounting, and, in the case of the Feeder Funds, transfer agency, market-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing and distribution; (c) each Fund&#146;s operating expenses; (d) the resources</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>devoted to and compliance reports relating to each Fund&#146;s investment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>objective, policies and restrictions; (e) each Fund&#146;s compliance with its</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Code of Ethics and compliance policies and procedures; (f) the nature,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cost and character of non-investment management services provided by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock and its affiliates; (g) BlackRock&#146;s and other service providers&#146;</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>internal controls; (h) BlackRock&#146;s implementation of the proxy voting poli-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cies approved by the Boards; (i) execution quality of portfolio transactions;</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(j) BlackRock&#146;s implementation of each Fund&#146;s valuation and liquidity pro-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cedures; (k) an analysis of contractual and actual management fees for</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>products with similar investment objectives across the open-end fund,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closed-end fund and institutional account product channels, as applicable;</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and (l) periodic updates on BlackRock&#146;s business.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Board Considerations in Approving the Agreements</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>The Approval Process: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Prior to the April 8, 2010 meeting, the Boards</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>requested and received materials specifically relating to the Agreements.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards are engaged in a process with BlackRock to periodically review</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the nature and scope of the information provided to better assist their</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>deliberations. The materials provided in connection with the April meeting</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>included (a) information independently compiled and prepared by Lipper,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inc. (&#147;Lipper&#148;) on the fees and expenses of each of BHL, DVF, FRA, BLW</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and the Feeder Funds, and the investment performance of each such Fund</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as compared with a peer group of funds as determined by Lipper (collec-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tively, &#147;Peers&#148;); (b) information on the profitability of the Agreements to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock and a discussion of fall-out benefits to BlackRock and its affili-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ates and significant shareholders; (c) a general analysis provided by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock concerning investment advisory fees charged to other clients,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>such as institutional clients and open-end funds, under similar investment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mandates; (d) the impact of economies of scale; (e) a summary of aggre-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>gate amounts paid by each Fund to BlackRock and (f) if applicable, a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>comparison of management fees to similar BlackRock closed-end funds, as</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>classified by Lipper.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>86 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>At an in-person meeting held on April 8, 2010, the Boards reviewed materi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>als relating to their consideration of the Agreements. As a result of the dis-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cussions that occurred during the April 8, 2010 meeting, the Boards</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>presented BlackRock with questions and requests for additional informa-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion and BlackRock responded to these requests with additional written</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>information in advance of the May 13 &#151; 14, 2010 Board meeting.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>At an in-person meeting held on May 13 &#151; 14, 2010, the Boards of BHL,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF, FRA, BLW and the Master LLC, including the Independent Board</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Members, unanimously approved the continuation of the Advisory</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Agreement between the Manager and its respective Fund and the Sub-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advisory Agreement between the Manager and the Sub-Advisor with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respect to its respective Fund, each for a one-year term ending June 30,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011. The Board of each Feeder Fund, including the Independent Board</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Members, also considered the continuation of the Agreements with respect</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the Master LLC and found the Agreements to be satisfactory. In approv-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing the continuation of the Agreements, the Boards of BHL, DVF, FRA, BLW</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and the Master LLC considered: (a) the nature, extent and quality of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>services provided by BlackRock; (b) the investment performance of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds and BlackRock; (c) the advisory fee and the cost of the services and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>profits to be realized by BlackRock and its affiliates from their relationship</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with the Funds; (d) economies of scale; and (e) other factors deemed rele-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>vant by the Board Members.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards also considered other matters they deemed important to the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>approval process, such as payments made to BlackRock or its affiliates</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>relating to the distribution of the Feeder Funds' shares, services related to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the valuation and pricing of each Fund&#146;s portfolio holdings, and in the case</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the Feeder Funds, the portfolio holdings of the Master LLC, direct and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>indirect benefits to BlackRock and its affiliates and significant shareholders</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>from their relationship with each Fund and advice from independent legal</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counsel with respect to the review process and materials submitted for the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boards&#146; review. The Boards noted the willingness of BlackRock personnel to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>engage in open, candid discussions with the Boards. The Boards did not</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>identify any particular information as controlling, and each Board Member</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may have attributed different weights to the various items considered.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>A. Nature, Extent and Quality of the Services Provided by BlackRock: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boards, including the Independent Board Members, reviewed the nature,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>extent and quality of services provided by BlackRock, including the invest-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment advisory services and the resulting performance of each Fund.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Throughout the year, the Boards compared the performance of each of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL, DVF, FRA, BLW and the Feeder Funds to the performance of a compa-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rable group of closed-end funds, and the performance of a relevant bench-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mark, if any. The Boards met with BlackRock&#146;s senior management</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>personnel responsible for investment operations, including the senior</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment officers. The Boards also reviewed the materials provided by the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds' portfolio management team discussing each Fund&#146;s performance</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and each Fund&#146;s investment objective, strategies and outlook.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards considered, among other factors, the number, education and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>experience of BlackRock&#146;s investment personnel generally and the Funds'</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>portfolio management team, investments by portfolio managers in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>funds they manage, BlackRock&#146;s portfolio trading capabilities, BlackRock&#146;s</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>use of technology, BlackRock&#146;s commitment to compliance, BlackRock's</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit analysis capabilities, BlackRock's risk analysis capabilities and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock&#146;s approach to training and retaining portfolio managers and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other research, advisory and management personnel. The Boards also</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reviewed a general description of BlackRock&#146;s compensation structure with</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respect to the Funds' portfolio management team and BlackRock&#146;s ability</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to attract and retain high-quality talent.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In addition to advisory services, the Boards considered the quality of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>administrative and non-investment advisory services provided to each</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund. BlackRock and its affiliates and significant shareholders provide</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each Fund with certain administrative services, transfer agency and share-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>holder services with respect to the Feeder Funds, and other services (in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>addition to any such services provided to each Fund by third parties) and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>officers and other personnel as are necessary for the operations of each</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund. In addition to investment advisory services, BlackRock and its affili-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ates provide each Fund with other services, including (i) preparing disclo-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sure documents, such as the prospectus and the statement of additional</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>information in connection with the initial public offering and periodic share-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>holder reports; (ii) preparing communications with analysts to support sec-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ondary market trading of BHL, DVF, FRA and BLW; (iii) assisting with daily</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accounting and pricing; (iv) preparing periodic filings with regulators and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>stock exchanges; (v) overseeing and coordinating the activities of other</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>service providers; (vi) organizing Board meetings and preparing the materi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>als for such Board meetings; (vii) providing legal and compliance support;</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and (viii) performing other administrative functions necessary for the oper-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ation of each Fund, such as tax reporting, fulfilling regulatory filing require-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments, and call center services. The Boards reviewed the structure and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>duties of BlackRock&#146;s fund administration, accounting, legal and compli-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ance departments and considered BlackRock&#146;s policies and procedures for</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assuring compliance with applicable laws and regulations.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>B. The Investment Performance of the Funds and BlackRock: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>including the Independent Board Members, also reviewed and considered</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the performance history of each Fund. In preparation for the April 8, 2010</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>meeting, the Boards were provided with reports, independently prepared by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lipper, which included a comprehensive analysis of the performance of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BHL, DVF, FRA, BLW and the Feeder Funds. The Boards also reviewed a nar-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rative and statistical analysis of the Lipper data that was prepared by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock, which analyzed various factors that affect Lipper&#146;s rankings. In</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>connection with their review, the Boards received and reviewed information</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>regarding the investment performance of each of BHL, DVF, FRA, BLW and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Feeder Funds as compared to a representative group of similar funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as determined by Lipper and to all funds in such Fund&#146;s applicable Lipper</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>category. The Boards were provided with a description of the methodology</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>used by Lipper to select peer funds. The Boards regularly review the per-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>formance of each Fund throughout the year.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Board of BHL noted that, in general, BHL performed better than</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>its Peers in that BHL&#146;s performance was at or above the median of its</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lipper Performance Universe in either the one-year or since-inception</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>periods reported.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Board of FRA noted that, in general, FRA performed better than its</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Peers in that the performance of FRA was at or above the median of its</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>87</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lipper Performance Universe in two of the one-, three- and five-year</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>periods reported.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards of the Master LLC and the Feeder Funds noted that, in general,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Feeder Funds performed better than their respective Peers in that the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>performance of each Feeder Fund (through the investment of their assets</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in the Master LLC) was at or above the median of its Lipper Performance</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Universe in each of the one-, three- and five-year periods reported.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Board of DVF noted that DVF performed below the median of its Lipper</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Performance Universe in the three-year and since-inception periods</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reported, but that DVF performed better than or equal to the median of its</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lipper Performance Universe in the one-year period reported. The Board of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DVF and BlackRock reviewed the reasons for DVF&#146;s underperformance dur-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing the three-year and since-inception periods compared with its Peers. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Board of DVF was informed that, among other things, DVF&#146;s credit alloca-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion for most of the period was biased towards the lower quality tiers,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which hurt performance dramatically in 2008.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Board of BLW noted that although BLW underperformed its Peers in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>two of the one-, three- and five-year periods reported, underperformance</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for at least one of those two periods was within 10% of the Lipper</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Performance Universe median return of its Peers.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards of DVF and BLW and BlackRock discussed BlackRock&#146;s strategy</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for improving each respective Fund&#146;s performance and BlackRock&#146;s com-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mitment to providing the resources necessary to assist each Fund&#146;s portfo-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lio managers and to improve each Fund's performance.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards noted that BlackRock has made changes to the organization of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the overall fixed income group management structure designed to result in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a strengthened leadership team with clearer accountability.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>C. Consideration of the Advisory Fees and the Cost of the Services</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>and Profits to be Realized by BlackRock and its Affiliates from their</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Relationship with the Funds: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Board of each of BHL, DVF, FRA, BLW,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>including the Independent Board Members, reviewed its respective Fund&#146;s</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contractual advisory fee rate compared with the other funds in its Lipper</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>category. The Board of each of the Feeder Funds and the Master LLC,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>including the Independent Board Members, reviewed the Master LLC&#146;s con-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tractual advisory fee rate compared with the other funds in each Feeder</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s Lipper cateogory. The Boards also compared the total expenses of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each of BHL, DVF, FRA, BLW and the Feeder Funds, as well as actual man-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agement fees, to those of other funds in its Lipper category. The Boards</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>considered the services provided and the fees charged by BlackRock to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other types of clients with similar investment mandates, including sepa-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rately managed institutional accounts.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards received and reviewed statements relating to BlackRock&#146;s finan-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cial condition and profitability with respect to the services it provided the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds. The Boards were also provided with a profitability analysis that</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>detailed the revenues earned and the expenses incurred by BlackRock for</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>services provided to the Funds. The Boards reviewed BlackRock&#146;s profitabil-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ity with respect to the Funds and other funds the Boards currently oversee</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for the year ended December 31, 2009 compared to available aggregate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>profitability data provided for the year ended December 31, 2008. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boards reviewed BlackRock&#146;s profitability with respect to other fund com-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>plexes managed by the Manager and/or its affiliates. The Boards reviewed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock&#146;s assumptions and methodology of allocating expenses in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>profitability analysis, noting the inherent limitations in allocating costs</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>among various advisory products. The Boards recognized that profitability</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may be affected by numerous factors including, among other things, fee</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>waivers and expense reimbursements by the Manager, the types of funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>managed, expense allocations and business mix, and the difficulty of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>comparing profitability as a result of those factors.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards noted that, in general, individual fund or product line profitabil-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ity of other advisors is not publicly available. Nevertheless, to the extent</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>such information was available, the Boards considered BlackRock&#146;s overall</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>operating margin, in general, compared to the operating margin for leading</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment management firms whose operations include advising closed-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>end funds, among other product types. That data indicates that operating</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>margins for BlackRock with respect to its registered funds are generally</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>consistent with margins earned by similarly situated publicly traded com-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>petitors. In addition, the Boards considered, among other things, certain</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>third party data comparing BlackRock&#146;s operating margin with that of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other publicly-traded asset management firms. That third party data indi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cates that larger asset bases do not, in themselves, translate to higher</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>profit margins.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In addition, the Boards considered the cost of the services provided to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each Fund by BlackRock, and BlackRock&#146;s and its affiliates&#146; profits relating</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to the management and distribution of each Fund and the other funds</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>advised by BlackRock and its affiliates. As part of their analysis, the Boards</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reviewed BlackRock&#146;s methodology in allocating its costs to the manage-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment of each Fund. The Boards also considered whether BlackRock has the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial resources necessary to attract and retain high quality investment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>management personnel to perform its obligations under the Agreements</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and to continue to provide the high quality of services that is expected by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Boards.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards of BHL, DVF, FRA and BLW noted that their respective Funds&#146;</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contractual management fee rates were lower than or equal to the median</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contractual management fee rates paid by the Funds&#146; respective Peers,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in each case, before taking into account any expense reimbursements or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fee waivers.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards of Senior Floating Rate and the Master LLC noted that the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC&#146;s/Senior Floating Rate&#146;s contractual management fee rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>was above the median contractual management fee rate paid by Senior</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate&#146;s Peers, in each case, before taking into account any expense</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reimbursements or fee waivers. The Boards of Senior Floating Rate and the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC also noted, however, that Senior Floating Rate&#146;s actual total</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expenses, after giving effect to any expense reimbursement or fee waivers</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by BlackRock, were lower than or equal to the median actual total</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expenses paid by Senior Floating Rate&#146;s Peers, after giving effect to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>any expense reimbursement or fee waivers.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>88 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (concluded)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards of Senior Floating Rate II and the Master LLC noted that the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Master LLC&#146;s/Senior Floating Rate II&#146;s contractual management fee rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>was above the median contractual management fee rate paid by Senior</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate II&#146;s Peers, in each case, before taking into account any</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expense reimbursements or fee waivers. The Boards of Senior Floating Rate</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>II and the Master LLC also noted, however, that although Senior Floating</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rate II&#146;s actual total expenses, after giving effect to any expense reimburse-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment or fee waivers by BlackRock, were above the median actual total</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>expenses of its Peers, after giving effect to any expense reimbursement</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or fee waivers, they were in the third quartile.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>D. Economies of Scale: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards, including the Independent Board</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Members, considered the extent to which economies of scale might be</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>realized as the assets of each Fund increase. The Boards also considered</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the extent to which each Fund benefits from such economies and whether</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>there should be changes in the advisory fee rate or structure in order to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>enable each Fund to participate in these economies of scale, for example</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>through the use of breakpoints in the advisory fee based upon the asset</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>level of such Fund, and in the case of the Feeder Funds, upon the asset</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>level of the Master LLC.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards noted that most closed-end fund complexes do not have fund</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>level breakpoints because closed-end funds generally do not experience</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>substantial growth after the initial public offering and each fund is man-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>aged independently consistent with its own investment objectives. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boards noted that only one closed-end fund in the Fund Complex has</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>breakpoints in its fee structure. Information provided by Lipper also</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>revealed that only one closed-end fund complex with total closed-end</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fund nets assets exceeding $10 billion, as of December 31, 2009, used</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a complex level breakpoint structure.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>E. Other Factors Deemed Relevant by the Board Members: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>including the Independent Board Members, also took into account other</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ancillary or &#147;fall-out&#148; benefits that BlackRock or its affiliates and significant</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shareholders may derive from their respective relationships with the Funds,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>both tangible and intangible, such as BlackRock&#146;s ability to leverage its</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment professionals who manage other portfolios, an increase in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock&#146;s profile in the investment advisory community, and the engage-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment of BlackRock&#146;s affiliates and significant shareholders as service</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>providers to each Fund, including for administrative services, transfer</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agency services with respect to the Feeder Funds, and distribution services.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards also considered BlackRock&#146;s overall operations and its efforts</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to expand the scale of, and improve the quality of, its operations. The</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boards also noted that BlackRock may use and benefit from third party</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>research obtained by soft dollars generated by certain mutual fund trans-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>actions to assist in managing all or a number of its other client accounts.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards further noted that BlackRock completed the acquisition of a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>complex of exchange-traded funds (&#147;ETFs&#148;) on December 1, 2009, and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that BlackRock&#146;s funds may invest in such ETFs without any offset against</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the management fees payable by the funds to BlackRock.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In connection with its consideration of the Agreements, the Boards also</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>received information regarding BlackRock&#146;s brokerage and soft dollar prac-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tices. The Boards received reports from BlackRock which included informa-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion on brokerage commissions and trade execution practices throughout</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the year.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards of BHL, DVF, FRA and BLW noted the competitive nature of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closed-end fund marketplace, and that shareholders are able to sell their</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respective Fund shares in the secondary market if they believe that the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#146;s fees and expenses are too high or if they are dissatisfied with the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>performance of the Fund.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Conclusion</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Boards of BHL, DVF, FRA, BLW and the Master LLC, including the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Independent Board Members, unanimously approved the continuation of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Advisory Agreement between the Manager and its respective Fund for a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>one-year term ending June 30, 2011 and the Sub-Advisory Agreement</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between the Manager and the applicable Sub-Advisor with respect to its</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respective Fund for a one-year term ending June 30, 2011. As part of its</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>approval, the Board of BHL, DVF, FRA, BLW and the Master LLC considered</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the discussions of BlackRock&#146;s fee structure, as it applies to its respective</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund, being conducted by the ad hoc Joint Product Pricing Committee.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based upon its evaluation of all of the aforementioned factors in their</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>totality, the Boards of BHL, DVF, FRA, BLW and the Master LLC, including</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Independent Board Members, were satisfied that the terms of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Agreements were fair and reasonable and in the best interest of its respec-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tive Fund and its shareholders. The Board of each Feeder Fund, including</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Independent Board Members, also considered the continuation of the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Agreements with respect to the Master LLC and found the Agreements to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be satisfactory. In arriving at a decision to approve the Agreements, the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boards of BHL, DVF, FRA, BLW and the Master LLC did not identify any sin-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>gle factor or group of factors as all-important or controlling, but considered</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>all factors together, and different Board Members may have attributed dif-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ferent weights to the various factors considered. The Independent Board</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Members were also assisted by the advice of independent legal counsel in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>making this determination. The contractual fee arrangements for BHL, DVF,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FRA, BLW and the Master LLC reflect the results of several years of review</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the Board Members and predecessor Board Members, and discussions</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between such Board Members (and predecessor Board Members) and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock. Certain aspects of the arrangements may be the subject of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>more attention in some years than in others, and the Board Members&#146; con-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>clusions may be based in part on their consideration of these arrange-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments in prior years.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>89</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Automatic Dividend Reinvestment Plan</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pursuant to each Fund&#146;s Dividend Reinvestment Plan (the &#147;Plan&#148;), common</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shareholders are automatically enrolled to have all distributions of divi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>dends and capital gains reinvested by Computershare Trust Company, N.A.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for BHL, DVF, FRA and BLW (individually, the &#147;Plan Agent&#148; or together, the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#147;Plan Agents&#148;) in the respective Fund&#146;s shares pursuant to the Plan.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shareholders who do not participate in the Plan will receive all distributions</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in cash paid by check and mailed directly to the shareholders of record (or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if the shares are held in street or other nominee name, then to the nomi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>nee) by the Plan Agent, which serves as agent for the shareholders in</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>administering the Plan.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>After BHL, DVF, FRA and BLW declare a dividend or determine to make a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>capital gain distribution, the Plan Agent will acquire shares for the partici-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pants&#146; accounts, depending upon the following circumstances, either</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) through receipt of unissued but authorized shares from the Fund</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(&#147;newly issued shares&#148;) or (ii) by purchase of outstanding shares on the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>open market, on the Fund&#146;s primary exchange (&#147;open-market purchases&#148;).</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>If, on the dividend payment date, the net asset value per share (&#147;NAV&#148;) is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>equal to or less than the market price per share plus estimated brokerage</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commissions (such condition often referred to as a &#147;market premium&#148;), the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Plan Agent will invest the dividend amount in newly issued shares on</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>behalf of the participants. The number of newly issued shares to be cred-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ited to each participant&#146;s account will be determined by dividing the dollar</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amount of the dividend by the NAV on the date the shares are issued.</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>However, if the NAV is less than 95% of the market price on the payment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>date, the dollar amount of the dividend will be divided by 95% of the mar-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ket price on the payment date. If, on the dividend payment date, the NAV is</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>greater than the market value per share plus estimated brokerage commis-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sions (such condition often referred to as a &#147;market discount&#148;), the Plan</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Agent will invest the dividend amount in shares acquired on behalf of the</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>participants in open-market purchases. If the Plan Agents are unable to</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>invest the full dividend amount in open market purchases, or if the market</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>discount shifts to a market premium during the purchase period, the Plan</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Agents will invest any un-invested portion in newly issued shares.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Participation in the Plan is completely voluntary and may be terminated or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>resumed at any time without penalty by notice if received and processed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the Plan Administrator prior to the dividend record date; otherwise such</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>termination or resumption will be effective with respect to any subsequently</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>declared dividend or other distribution.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Plan Agent&#146;s fees for the handling of the reinvestment of dividends and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>distributions will be paid by each Fund. However, each participant will pay</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a pro rata share of brokerage commissions incurred with respect to the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Plan Agent&#146;s open market purchases in connection with the reinvestment of</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>dividends and distributions. The automatic reinvestment of dividends and</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>distributions will not relieve participants of any federal income tax that may</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be payable on such dividends or distributions.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each Fund reserves the right to amend or terminate the Plan. There is no</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>direct service charge to participants in the Plan; however, each Fund</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reserves the right to amend the Plan to include a service charge payable</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the participants. Participants that request a sale of shares through</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Computershare Trust Company, N.A. are subject to a $2.50 sales fee and a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.15 per share sold brokerage commission. Participants that request a</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sale of shares through Computershare Trust Company, N. A., P. O. Box</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>43078, Providence, RI 02940-3078, Telephone: (800) 699-1BFM or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>overnight correspondence should be directed to the Plan Agent at 250</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Royall Street, Canton, MA 02021 for shareholders of BHL, DVF, FRA,</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and BLW.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>90 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
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     <TD colSpan=3 align=left><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Officers and Directors</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
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     <TD align=left>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Number of</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Length of</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><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=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Position(s)</FONT></B>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Time</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Advised Funds</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Name, Address</FONT></B>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Held with</FONT></B>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Served as</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>and Portfolios</FONT></B>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Public</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>and Year of Birth</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>Funds</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>a Director</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=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Principal Occupation(s) During Past Five Years</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>Overseen</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>Directorships</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 colSpan=2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Non-Interested Directors</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Richard E. Cavanagh</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chairman</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Trustee, Aircraft Finance Trust from 1999 to 2009; Director, The Guardian Life</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100 Funds</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Arch Chemical</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55 East 52nd Street</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the Board</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Insurance Company of America since 1998; Trustee, Educational Testing Service</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98 Portfolios</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(chemical and allied</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Director</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>products)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1946</FONT>&nbsp;</TD>
     <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>The Fremont Group since 2008 and Director thereof since 1996; Adjunct Lecturer,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harvard University since 2007; President and Chief Executive Officer, The Conference</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Board, Inc. (global business research organization) from 1995 to 2007.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Karen P. Robards</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vice Chair of</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Partner of Robards &amp; Company, LLC (financial advisory firm) since 1987;</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100 Funds</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AtriCure, Inc.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55 East 52nd Street</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Board,</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Co-founder and Director of the Cooke Center for Learning and Development,</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98 Portfolios</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(medical devices)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chair of</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a not-for-profit organization) since 1987; Director of Care Investment Trust, Inc.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1950</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Audit</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(health care real estate investment trust) from 2007 to 2010; Director of Enable</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Committee</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Medical Corp. from 1996 to 2005; Investment Banker at Morgan Stanley from</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Director</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1976 to 1987.</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Frank J. Fabozzi</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Director and</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Consultant/Editor of The Journal of Portfolio Management since 2006; Professor in</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100 Funds</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>None</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55 East 52nd Street</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Member of</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Practice of Finance and Becton Fellow, Yale University, School of Management,</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98 Portfolios</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Audit</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>since 2006; Adjunct Professor of Finance and Becton Fellow, Yale University from</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1948</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Committee</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1994 to 2006.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Kathleen F. Feldstein</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Director</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>President of Economics Studies, Inc. (private economic consulting firm) since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100 Funds</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The McClatchy</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55 East 52nd Street</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1987; Chair, Board of Trustees, McLean Hospital from 2000 to 2008 and Trustee</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98 Portfolios</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Company</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT>&nbsp;</TD>
     <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>Emeritus thereof since 2008; Member of the Board of Partners Community</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(publishing);</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1941</FONT>&nbsp;</TD>
     <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>Healthcare, Inc. from 2005 to 2009; Member of the Corporation of Partners</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Knight Ridder</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HealthCare since 1995; Trustee, Museum of Fine Arts, Boston since 1992; Member</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(publishing)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the Visiting Committee to the Harvard University Art Museum since 2003; Director,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Catholic Charities of Boston since 2009.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>James T. Flynn</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Director and</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chief Financial Officer of JP Morgan &amp; Co., Inc. from 1990 to 1995.</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100 Funds</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>None</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55 East 52nd Street</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Member of</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98 Portfolios</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Audit</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1939</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Committee</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Jerrold B. Harris</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Director</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Trustee, Ursinus College since 2000; Director, Troemner LLC (scientific equipment)</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100 Funds</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Kelso</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55 East 52nd Street</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>since 2000; Director of Delta Waterfowl Foundation since 2001; President and</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98 Portfolios</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Corp.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT>&nbsp;</TD>
     <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>Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(business</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1942</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>development</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>company)</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>91</FONT></P>
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     <TD colSpan=4 align=left><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Officers and Directors (continued)</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Number of</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Length of</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><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=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Position(s)</FONT></B>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Time</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Advised Funds</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Name, Address</FONT></B>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Held with</FONT></B>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Served as</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>and Portfolios</FONT></B>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Public</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>and Year of Birth</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>Funds</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>a Director</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=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Principal Occupation(s) During Past Five Years</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>Overseen</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>Directorships</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 colSpan=2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Non-Interested Directors</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP></B><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(concluded)</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>R. Glenn Hubbard</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Director</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dean, Columbia Business School since 2004; Columbia faculty member since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100 Funds</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ADP (data and</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55 East 52nd Street</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1988; Co-Director of Columbia Business School&#146;s Entrepreneurship Program from</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98 Portfolios</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>information services);</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT>&nbsp;</TD>
     <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>1997 to 2004; Chairman, U.S. Council of Economic Advisers under the President</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>KKR Financial</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1958</FONT>&nbsp;</TD>
     <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>of the United States from 2001 to 2003; Chairman, Economic Policy Committee</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporation (finance);</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the OECD from 2001 to 2003.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Metropolitan Life</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><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Insurance Company</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(insurance)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>W. Carl Kester</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Director and</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>George Fisher Baker Jr. Professor of Business Administration, Harvard Business</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100 Funds</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>None</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55 East 52nd Street</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Member of</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>School; Deputy Dean for Academic Affairs from 2006 to 2010; Unit Head,</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98 Portfolios</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Audit</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Finance, Harvard Business School from 2005 to 2006; Senior Associate Dean</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>1951</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Committee</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Chairman of the MBA Program of Harvard Business School from 1999 to</FONT>&nbsp;</TD>
     <TD align=left>&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>2005; Member of the faculty of Harvard Business School since 1981;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Independent Consultant since 1978.</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=3 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>Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <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>Date shown is the earliest date a person has served for the Funds covered by this annual report. Following the combination of Merrill Lynch Investment</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Managers, L.P. (&#147;MLIM&#148;) and BlackRock, Inc. (&#147;BlackRock&#148;) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows directors as joining the Funds&#146; board in 2007,</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: Richard E. Cavanagh, 1994; Frank J.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 2px" colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fabozzi, 1988; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Robards, 1998.</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e4e6f2 align=left><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interested Directors</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>3</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Richard S. Davis</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Director</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Managing Director, BlackRock, Inc. since 2005; Chief Executive Officer, State</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>170 Funds</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>None</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55 East 52nd Street</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Street Research &amp; Management Company from 2000 to 2005; Chairman of</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>291 Portfolios</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT>&nbsp;</TD>
     <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>the Board of Trustees, State Street Research Mutual Funds from 2000 to 2005.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1945</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Henry Gabbay</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Director</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock,</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>170 Funds</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>None</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55 East 52nd Street</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>291 Portfolios</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT>&nbsp;</TD>
     <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>from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation</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>1947</FONT>&nbsp;</TD>
     <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>Target Shares from 2005 to 2007; Treasurer of certain closed-end funds in the</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock fund complex from 1989 to 2006.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><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>Mr. Davis is an &#147;interested person,&#148; as defined in the Investment Company Act of 1940, of the Funds based on his position with BlackRock, Inc. and</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>its affiliates. Mr. Gabbay is an &#147;interested person&#148; of the Funds based on his former positions with BlackRock, Inc. and its affiliates as well as his owner-</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ship of BlackRock, Inc. and The PNC Financial Services Group, Inc. securities. Directors serve until their resignation, removal or death, or until December 31</FONT><BR>
<FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the year in which they turn 72.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>92 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Officers and Directors (concluded)</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="13%"></TD>
     <TD width="11%"></TD>
     <TD width="10%"></TD>
     <TD width="64%"></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>Position(s)</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Name, Address</FONT></B>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Held with</FONT></B>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Length of</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>and Year of Birth</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>Funds</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>Time Served</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>Principal Occupation(s) During Past 5 Years</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=center><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Officers</FONT></B><B><SUP><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e4e6f2 align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Anne Ackerley</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>President</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Managing Director of BlackRock, Inc. since 2000; Vice President of the BlackRock-advised funds from 2007 to</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55 East 52nd Street</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Chief</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2009</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2009; Chief Operating Officer of BlackRock&#146;s Global Client Group (GCG) since 2009; Chief Operating Officer</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Executive</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of BlackRock&#146;s US Retail Group from 2006 to 2009; Head of BlackRock&#146;s Mutual Fund Group from 2000</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>1962</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to 2006.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Brendan Kyne</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vice</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head of Product</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55 East 52nd Street</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>President</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2009</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Development and Management for BlackRock&#146;s US Retail Group since 2009, Co-head thereof from 2007 to</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT>&nbsp;</TD>
     <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>2009; Vice President of BlackRock, Inc. from 2005 to 2008.</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>1977</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Neal Andrews</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chief</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55 East 52nd Street</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accounting and Administration at PNC Global Investment Servicing (US) Inc. from 1992 to 2006.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1966</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Jay Fife</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasurer</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Managing Director of BlackRock, Inc. since 2007 and Director in 2006; Assistant Treasurer of the Merrill Lynch</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55 East 52nd Street</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment Managers, L.P. (&#147;MLIM&#148;) and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT>&nbsp;</TD>
     <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>of MLIM Fund Services Group from 2001 to 2006.</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>1970</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Brian Kindelan</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chief</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55 East 52nd Street</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Compliance</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock, Inc. since 2005.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1959</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><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Howard Surloff</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Secretary</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Managing Director and General Counsel of US Funds at BlackRock, Inc. since 2006; General Counsel (US) of</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55 East 52nd Street</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2007</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs Asset Management, L.P. from 1993 to 2006.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1965</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></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officers of the Funds serve at the pleasure of the Boards.</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>Ms. Ackerley has been President and Chief Executive Officer since 2009 and was Vice President from 2007 to 2009.</FONT></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="18%"></TD>
     <TD width="19%"></TD>
     <TD width="21%"></TD>
     <TD width="23%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Advisor</FONT></B>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Custodians</FONT></B>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Transfer Agent</FONT></B>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Accounting Agent</FONT></B>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Legal Counsel</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Advisors, LLC</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State Street Bank</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Common Shares</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State Street Bank</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Skadden, Arps, Slate,</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wilmington, DE 19809</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Trust Company</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Computershare Trust</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and Trust Company</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Meagher &amp; Flom LLP</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boston, MA 02111</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Company, N.A.</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Princeton, NJ 08540</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10036</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Sub-Advisor</FONT></B>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Providence, RI 02940</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=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Financial</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Bank of</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Registered</FONT></B>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Address of the Funds</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Management, Inc.</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York Mellon</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNY Mellon</FONT>&nbsp;</TD>
     <TD align=left><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Public Accounting Firm</FONT></B>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100 Bellevue Parkway</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10055</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10286</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shareowner Services</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deloitte &amp; Touche LLP</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wilmington, DE 19809</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jersey City, NJ 07310</FONT>&nbsp;</TD>
     <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Princeton, NJ 08540</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </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>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Senior Floating Rate and Senior Floating Rate II.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>93</FONT></P>
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<A name="page_95"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Additional Information</FONT><BR>
<BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Certification</FONT></B><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain Funds are listed for trading on the New York Stock Exchange</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(&#147;NYSE&#148;) and have filed with the NYSE their annual chief executive officer</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>certification regarding compliance with the NYSE&#146;s listing standards. The</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds filed with the Securites and Exchange Commission (&#147;SEC&#148;) the certi-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fication of their chief executive officer and chief financial officer required by</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>section 302 of the Sarbanes-Oxley Act.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#004a91 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 style="TEXT-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 style="TEXT-ALIGN: left"><B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>General Information</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds do not make available copies of their Statements of Additional</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Information because the Funds&#146; shares are not continuously offered, which</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>means that the Statement of Additional Information of each Fund has not</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>been updated after completion of the respective Fund&#146;s offerings and the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>information contained in each Fund&#146;s Statement of Additional Information</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may have become outdated.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the period, there were no material changes in the Funds&#146; investment</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>objectives or policies or to the Funds&#146; charter or by-laws that would delay or</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prevent a change of control of the Funds that were not approved by share-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>holders or in the principal risk factors associated with investment in the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds. Changes regarding the persons who are primarily responsible for the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>day-to-day management for the Funds&#146; portfolios are noted in the boxed</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>text below.</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Quarterly performance, semi-annual and annual reports and other informa-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion regarding the Funds may be found on BlackRock&#146;s website, which can</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be accessed at http://www.blackrock.com. This reference to BlackRock&#146;s</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>website is intended to allow investors public access to information regard-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing the Funds and does not, and is not intended to, incorporate BlackRock&#146;s</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>website into this report.</FONT><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></P>
<P style="TEXT-ALIGN: left"><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><BR>
<BR>
<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 SEC for the first and third quarters of each fiscal year on Form</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>N-Q. The Funds&#146;/Master LLC&#146;s Forms N-Q are available on the SEC&#146;s web-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>site at http://www.sec.gov and may also be reviewed and copied at the</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SEC&#146;s Public Reference Room in Washington, DC. Information on the opera-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion of the Public Reference Room may be obtained by calling (800) SEC-</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0330. Each Fund&#146;s/Master LLC&#146;s Forms N-Q may also be obtained upon</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>request and without charge 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;</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2) at http://www.blackrock.com; and (3) on the SEC&#146;s website</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and without charge (1) at http://www.blackrock.com or by calling</FONT><BR>
<FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(800) 441-7762 and (2) on the SEC&#146;s website at http://www.sec.gov.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>94 ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<P style="TEXT-ALIGN: left"><FONT color=#004a91 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Additional Information (concluded)</FONT><BR>
<BR>
<B><FONT color=#004a91 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>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="22%"></TD>
     <TD width="20%"></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>August 31, 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>$0.696000</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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.696000</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>$0.759740</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>$0.092260</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.852000</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>89%</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>11%</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>$0.864072</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>$0.100428</FONT>&nbsp;</TD>
     <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.964500</FONT>&nbsp;</TD>
     <TD align=center><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>90%</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>10%</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>$0.900000</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=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.900000</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></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-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><BR>
<BR>
<B><FONT color=#004a91 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Privacy Principles</FONT></B></P>
<P style="TEXT-ALIGN: left"><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 style="TEXT-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 style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>ANNUAL REPORT</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>AUGUST 31, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>95</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=CorporateS-Light,Arial,Helvetica,sans-serif>This report is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless accompanied or</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=CorporateS-Light,Arial,Helvetica,sans-serif>preceded by the Fund&#146;s current prospectus. Past performance results shown in this report should not be considered a representation</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=CorporateS-Light,Arial,Helvetica,sans-serif>of future performance. Invest-ment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth</FONT><BR>
<BR>
<FONT color=#231f20 size=2 face=CorporateS-Light,Arial,Helvetica,sans-serif>more or less than their original cost. Statements and other information herein are as dated and are subject to change.</FONT></P>
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<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 2 &#150; Code of Ethics &#150; The registrant (or the &#147;Fund&#148;) has adopted a code of ethics, as of the end</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of the period covered by this report, applicable to the registrant&#146;s principal executive officer,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">principal financial officer and principal accounting officer, or persons performing similar</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">functions. During the period covered by this report, there have been no amendments to or</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">waivers granted under the code of ethics. A copy of the code of ethics is available without</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">charge at www.blackrock.com.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 3 &#150; Audit Committee Financial Expert &#150; The registrant&#146;s board of directors or trustees, as</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">applicable (the &#147;board of directors&#148;), has determined that (i) the registrant has the following</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">audit committee financial experts serving on its audit committee and (ii) each audit</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">committee financial expert is independent:</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Kent Dixon (retired effective December 31, 2009)</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Frank J. Fabozzi</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">James T. Flynn</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">W. Carl Kester</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Karen P. Robards</FONT></P>
<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">The registrant&#146;s board of directors has determined that W. Carl Kester and Karen P. Robards</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Prof. Kester has a thorough understanding of generally accepted accounting principles,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial statements and internal control over financial reporting as well as audit committee</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">functions. Prof. Kester has been involved in providing valuation and other financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">consulting services to corporate clients since 1978. Prof. Kester&#146;s financial consulting</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">services present a breadth and level of complexity of accounting issues that are generally</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">comparable to the breadth and complexity of issues that can reasonably be expected to be</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">raised by the registrant&#146;s financial statements.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Ms. Robards has a thorough understanding of generally accepted accounting principles,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial statements and internal control over financial reporting as well as audit committee</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">functions. Ms. Robards has been President of Robards &amp; Company, a financial advisory</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">where she was responsible for evaluating and assessing the performance of companies based</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">on their financial results. Ms. Robards has over 30 years of experience analyzing financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">statements. She also is a member of the audit committee of one publicly held company and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a non-profit organization.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Under applicable securities laws, a person determined to be an audit committee financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">expert will not be deemed an &#147;expert&#148; for any purpose, including without limitation for the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">purposes of Section 11 of the Securities Act of 1933, as a result of being designated or</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">identified as an audit committee financial expert. The designation or identification as an</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">audit committee financial expert does not impose on such person any duties, obligations, or</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">liabilities greater than the duties, obligations, and liabilities imposed on such person as a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">member of the audit committee and board of directors in the absence of such designation or</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">identification. The designation or identification as an audit committee financial expert does</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">not affect the duties, obligations, or liability of any other member of the audit committee or</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">board of directors.</FONT></P>

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<TR>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 4 &#150; Principal Accountant Fees and Services</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>
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     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" colSpan=2 align=left><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">(a) Audit Fees</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" colSpan=2 align=left><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">(b) Audit-Related Fees</FONT></B><B><SUP><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">1</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 6px" colSpan=2 align=left><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">(c) Tax Fees</FONT></B><B><SUP><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">2</FONT></SUP></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" colSpan=2 align=left><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">(d) All Other Fees</FONT></B><B><SUP><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">3</FONT></SUP></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Current</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Previous</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Current</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Previous</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Current</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Previous</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Current</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Previous</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Fiscal Year</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Fiscal Year</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Fiscal Year</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Fiscal Year</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Fiscal Year</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Fiscal Year</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Fiscal Year</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Fiscal Year</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Entity Name</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">End</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">End</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">End</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">End</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">End</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">End</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">End</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">End</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating</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>
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     <TD align=left><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Rate Income</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">$49,300</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">$49,300</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">$0</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">$0</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">$6,100</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">$6,100</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">$0</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">$1,028</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Strategies Fund, 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>
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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></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1 The nature of the services include assurance and related services reasonably related to the performance of the audit of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial statements not included in Audit Fees.</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2 The nature of the services include tax compliance, tax advice and tax planning.</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">3 The nature of the services include a review of compliance procedures and attestation thereto.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(e)(1) Audit Committee Pre-Approval Policies and Procedures:</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">The registrant&#146;s audit committee (the &#147;Committee&#148;) has adopted policies and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">procedures with regard to the pre-approval of services. Audit, audit-related and tax</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">compliance services provided to the registrant on an annual basis require specific pre-</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">approval by the Committee. The Committee also must approve other non-audit services</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">provided to the registrant and those non-audit services provided to the registrant&#146;s affiliated</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">service providers that relate directly to the operations and the financial reporting of the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">registrant. Certain of these non-audit services that the Committee believes are a) consistent</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">with the SEC&#146;s auditor independence rules and b) routine and recurring services that will</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">not impair the independence of the independent accountants may be approved by the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Committee without consideration on a specific case-by-case basis (&#147;general pre-approval&#148;).</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">The term of any general pre-approval is 12 months from the date of the pre-approval, unless</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the Committee provides for a different period. Tax or other non-audit services provided to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the registrant which have a direct impact on the operation or financial reporting of the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">registrant will only be deemed pre-approved provided that any individual project does not</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">multiple projects will be aggregated to determine if they exceed the previously mentioned</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">cost levels.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Any proposed services exceeding the pre-approved cost levels will require specific</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">pre-approval by the Committee, as will any other services not subject to general pre-</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">approval (e.g., unanticipated but permissible services). The Committee is informed of each</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">service approved subject to general pre-approval at the next regularly scheduled in-person</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">board meeting. At this meeting, an analysis of such services is presented to the Committee</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">for ratification. The Committee may delegate to the Committee Chairman the authority to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">approve the provision of and fees for any specific engagement of permitted non-audit</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">services, including services exceeding pre-approved cost levels.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(e)(2) None of the services described in each of Items 4(b) through (d) were approved by</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(f) Not Applicable</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(g) </FONT><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Affiliates&#146; Aggregate Non-Audit Fees:</FONT></U></P>
<DIV align=left>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="36%"></TD>
     <TD width="35%"></TD>
     <TD width="28%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Current Fiscal Year</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Previous Fiscal Year</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 8px" align=left><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Entity Name</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">End</FONT></B>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 3px double" align=center><B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">End</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate&nbsp;<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Income Strategies Fund, Inc.</FONT></FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">$16,877</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">$409,628</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(h) The registrant&#146;s audit committee has considered and determined that the provision of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">non-audit services that were rendered to the registrant&#146;s investment adviser (not including</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">any non-affiliated sub-adviser whose role is primarily portfolio management and is</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">subcontracted with or overseen by the registrant&#146;s investment adviser), and any entity</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">controlling, controlled by, or under common control with the investment adviser that</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">provides ongoing services to the registrant that were not pre-approved pursuant to paragraph</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">accountant&#146;s independence.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Regulation S-X Rule 2-01(c)(7)(ii) &#150; $10,777, 0%</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 5 &#150; Audit Committee of Listed Registrants &#150;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a) The following individuals are members of the registrant&#146;s separately-designated</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">standing audit committee established in accordance with Section 3(a)(58)(A) of the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Kent Dixon (retired effective December 31, 2009)</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Frank J. Fabozzi</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">James T. Flynn</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">W. Carl Kester</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Karen P. Robards</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(b) Not Applicable</FONT></P>
<P style="TEXT-ALIGN: left"><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; The board of directors has delegated the voting of proxies for the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Fund securities to the Fund&#146;s investment adviser (&#147;Investment Adviser&#148;) pursuant to the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Investment Adviser&#146;s proxy voting guidelines. Under these guidelines, the Investment</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Adviser will vote proxies related to Fund securities in the best interests of the Fund and its</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">stockholders. From time to time, a vote may present a conflict between the interests of the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Fund&#146;s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">person of the Fund or the Investment Adviser, on the other. In such event, provided that the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Investment Adviser&#146;s Equity Investment Policy Oversight Committee, or a sub-committee</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">thereof (the &#147;Oversight Committee&#148;) is aware of the real or potential conflict or material</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">non-routine matter and if the Oversight Committee does not reasonably believe it is able to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">follow its general voting guidelines (or if the particular proxy matter is not addressed in the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">guidelines) and vote impartially, the Oversight Committee may retain an independent</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Investment Adviser&#146;s clients. If the Investment Adviser determines not to retain an</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">independent fiduciary, or does not desire to follow the advice of such independent fiduciary,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the Oversight Committee shall determine how to vote the proxy after consulting with the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Investment Adviser&#146;s Portfolio Management Group and/or the Investment Adviser&#146;s Legal</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and Compliance Department and concluding that the vote cast is in its client&#146;s best interest</FONT></P>
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<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">notwithstanding the conflict. A copy of the Fund&#146;s Proxy Voting Policy and Procedures are</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">portfolio securities during the most recent 12-month period ended June 30 is available</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">without charge, (i) at www.blackrock.com and (ii) on the SEC&#146;s website at</FONT><BR>
<U><FONT color="#0000ff" size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">http://www.sec.gov</FONT></U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">.</FONT></P>
<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 8 &#150; Portfolio Managers of Closed-End Management Investment Companies &#150; as of August 31,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2010.</FONT></P>
<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a)(1) The registrant (or &#147;Fund&#148;) is managed by a team of investment professionals</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">comprised of Leland Hart, Managing Director at BlackRock, Inc. and C. Adrian Marshall,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Director at BlackRock, Inc. Messrs. Hart and Marshall are the Fund&#146;s co-portfolio managers</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and are responsible for the day-to-day management of the Fund&#146;s portfolio and the selection</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of its investments. Messrs. Hart and Marshall have been members of the Fund&#146;s portfolio</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">management team since 2009.</FONT></P>
<DIV align="left">
<TABLE border=0 cellspacing=0>
<TR>
     <TD width=24%></TD>
     <TD width=4%></TD>
     <TD width=10%></TD>
     <TD width=11%></TD>
     <TD width=13%></TD>
     <TD width=10%></TD>
     <TD width=17%></TD>
     <TD width=6%></TD></TR>
<TR valign="bottom">
	<TD align=left colspan=2 style="border-bottom:1px solid #000000;" style="TEXT-INDENT:16.000000px">
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Portfolio Manager</FONT></B>&nbsp;</TD>
	<TD align=left colspan=2 style="border-bottom:1px solid #000000;" style="TEXT-INDENT:2.000000px">
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Biography</FONT></B>&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="TEXT-INDENT:16.000000px">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Leland Hart</FONT>&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
	<TD align=left colspan=5 style="TEXT-INDENT:2.000000px">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Managing Director of BlackRock, Inc. since 2009; Partner of R3 Capital</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 colspan=6 style="TEXT-INDENT:2.000000px">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Partners ("R3") in 2009; Managing Director of R3 in 2008 - 2009; Managing</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
	<TD align=left colspan=6 style="TEXT-INDENT:2.000000px">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Director of Lehman Brothers from 2006 - 2008; Executive Director of Lehman</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left colspan=3 style="border-bottom:1px solid #000000;" style="TEXT-INDENT:2.000000px">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Brothers from 2003 - 2006.</FONT>&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left colspan=2 style="TEXT-INDENT:16.000000px">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">C. Adrian Marshall</FONT>&nbsp;</TD>
	<TD align=left colspan=5 style="TEXT-INDENT:2.000000px">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Director of BlackRock, Inc. since 2007; Vice President of BlackRock, Inc.</FONT>&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left colspan=2 style="border-bottom:1px solid #000000;" style="TEXT-INDENT:2.000000px">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">from 2004 - 2007.</FONT>&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left colspan=3 style="border-bottom:1px solid #000000;" style="TEXT-INDENT:15.000000px">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a)(2) As of August 31, 2010:</FONT>&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
	<TD align=left colspan=3>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">(ii) Number of Other Accounts Managed</FONT></B>&nbsp;</TD>
	<TD align=center colspan=3>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">(iii) Number of Other Accounts and</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
	<TD align=right colspan=3>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">and Assets by Account Type</FONT></B>&nbsp;</TD>
	<TD align=center colspan=3>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Assets for Which Advisory Fee is</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=center style="border-bottom:1px solid #000000;">
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Performance-Based</FONT></B>&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
	<TD align=center>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Other</FONT></B>&nbsp;</TD>
	<TD align=center>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Other Pooled</FONT></B>&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
	<TD align=center>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Other</FONT></B>&nbsp;</TD>
	<TD align=center>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Other Pooled</FONT></B>&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=center>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">(i) Name of</FONT></B>&nbsp;</TD>
	<TD align=center colspan=2>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Registered</FONT></B>&nbsp;</TD>
	<TD align=center>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Investment</FONT></B>&nbsp;</TD>
	<TD align=center>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Other</FONT></B>&nbsp;</TD>
	<TD align=center>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Registered</FONT></B>&nbsp;</TD>
	<TD align=center>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Investment</FONT></B>&nbsp;</TD>
	<TD align=center>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Other</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=center>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Portfolio Manager</FONT></B>&nbsp;</TD>
	<TD align=left colspan=2>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Investment</FONT></B>&nbsp;</TD>
	<TD align=center>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Vehicles</FONT></B>&nbsp;</TD>
	<TD align=center>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Accounts</FONT></B>&nbsp;</TD>
	<TD align=center>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Investment</FONT></B>&nbsp;</TD>
	<TD align=center>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Vehicles</FONT></B>&nbsp;</TD>
	<TD align=center>
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Accounts</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left colspan=2 style="border-bottom:1px solid #000000;">
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Companies</FONT></B>&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=center style="border-bottom:1px solid #000000;">
<B><FONT size=1 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Companies</FONT></B>&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#ccffff" align=left style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Leland Hart</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD bgcolor="#ccffff" align=left style="border-bottom:1px solid #000000;" style="TEXT-INDENT:1.000000px">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">10</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">0</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">0</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">0</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">0</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left colspan=2 style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;2.52 Billion</FONT>&nbsp;</TD>
	<TD align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;3.88 Million</FONT>&nbsp;</TD>
	<TD align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;0</FONT>&nbsp;</TD>
	<TD align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;0</FONT>&nbsp;</TD>
	<TD align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;0</FONT>&nbsp;</TD>
	<TD align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;0</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD bgcolor="#ccffff" align=left style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">C. Adrian Marshall</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD bgcolor="#ccffff" align=left style="border-bottom:1px solid #000000;" style="TEXT-INDENT:1.000000px">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">10</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">16</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">5</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">0</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">10</FONT>&nbsp;</TD>
	<TD bgcolor="#ccffff" align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">0</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left colspan=2 style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;2.52 Billion</FONT>&nbsp;</TD>
	<TD align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;4.71 Billion</FONT>&nbsp;</TD>
	<TD align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;572.5 Million</FONT>&nbsp;</TD>
	<TD align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;0</FONT>&nbsp;</TD>
	<TD align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;3.86 Billion</FONT>&nbsp;</TD>
	<TD align=center style="border-bottom:1px solid #000000;">
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#36;0</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left colspan=5 style="TEXT-INDENT:16.000000px">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(iv) Potential Material Conflicts of Interest</FONT>&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
</TR>
</TABLE>
</DIV>
<P style="MARGIN:0px">&nbsp;</P>
<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock, Inc., individually and together with its affiliates (&#147;BlackRock&#148;), has built a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">professional working environment, firm-wide compliance culture and compliance</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">procedures and systems designed to protect against potential incentives that may favor one</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">account over another. BlackRock has adopted policies and procedures that address the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">allocation of investment opportunities, execution of portfolio transactions, personal trading</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">by employees and other potential conflicts of interest that are designed to ensure that all</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">client accounts are treated equitably over time. Nevertheless, BlackRock furnishes</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">investment management and advisory services to numerous clients in addition to the Fund,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and BlackRock may, consistent with applicable law, make investment recommendations to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">other clients or accounts (including accounts which are hedge funds or have performance or</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">higher fees paid to BlackRock, or in which portfolio managers have a personal interest in</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the receipt of such fees), which may be the same as or different from those made to the</FONT></P>

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<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Fund. In addition, BlackRock, its affiliates and significant shareholders and any officer,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">director, stockholder or employee may or may not have an interest in the securities whose</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">purchase and sale BlackRock recommends to the Fund. BlackRock, or any of its affiliates</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">or significant shareholders, or any officer, director, stockholder, employee or any member</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of their families may take different actions than those recommended to the Fund by</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock with respect to the same securities. Moreover, BlackRock may refrain from</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">rendering any advice or services concerning securities of companies of which any of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock&#146;s (or its affiliates&#146; or significant shareholders&#146;) officers, directors or employees</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">are directors or officers, or companies as to which BlackRock or any of its affiliates or</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">significant shareholders or the officers, directors and employees of any of them has any</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">substantial economic interest or possesses material non-public information. Each portfolio</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">manager also may manage accounts whose investment strategies may at times be opposed to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the strategy utilized for a fund. In this connection, it should be noted that Mr. Marshall</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">currently manages certain accounts that are subject to performance fees. In addition, a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">portfolio manager may assist in managing certain hedge funds and may be entitled to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">receive a portion of any incentive fees earned on such funds and a portion of such incentive</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">fees may be voluntarily or involuntarily deferred. Additional portfolio managers may in the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">future manage other such accounts or funds and may be entitled to receive incentive fees.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">fairly. When BlackRock purchases or sells securities for more than one account, the trades</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">allocate investments in a fair and equitable manner among client accounts, with no account</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">receiving preferential treatment. To this end, BlackRock has adopted a policy that is</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">intended to ensure that investment opportunities are allocated fairly and equitably among</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">client accounts over time. This policy also seeks to achieve reasonable efficiency in client</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">transactions and provide BlackRock with sufficient flexibility to allocate investments in a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">manner that is consistent with the particular investment discipline and client base.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a)(3) As of August 31, 2010:</FONT><BR>
<BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Portfolio Manager Compensation Overview</FONT></B><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock&#146;s financial arrangements with its portfolio managers, its competitive</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">compensation and its career path emphasis at all levels reflect the value senior management</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">places on key resources. Compensation may include a variety of components and may vary</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">from year to year based on a number of factors. The principal components of compensation</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">include a base salary, a performance-based discretionary bonus, participation in various</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">benefits programs and one or more of the incentive compensation programs established by</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock such as its Long-Term Retention and Incentive Plan and Restricted Stock</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Program.</FONT><BR>
<BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Base compensation. </FONT></B><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Generally, portfolio managers receive base compensation based on</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">their seniority and/or their position with the firm. Senior portfolio managers who perform</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">additional management functions within the portfolio management group or within</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock may receive additional compensation for serving in these other capacities.</FONT><BR>
<BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Discretionary Incentive Compensation</FONT></B><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Discretionary incentive compensation is a function of several components: the performance</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of BlackRock, Inc., the performance of the portfolio manager&#146;s group within BlackRock,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the investment performance, including risk-adjusted returns, of the firm&#146;s assets under</FONT></P>

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<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">management or supervision by that portfolio manager relative to predetermined</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">benchmarks, and the individual&#146;s seniority, role within the portfolio management team,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">teamwork and contribution to the overall performance of these portfolios and BlackRock.</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">In most cases, including for the portfolio managers of the Fund, these benchmarks are the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">same as the benchmark or benchmarks against which the performance of the Fund or other</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">accounts managed by the portfolio managers are measured. BlackRock&#146;s Chief Investment</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Officers determine the benchmarks against which the performance of funds and other</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">accounts managed by each portfolio manager is compared and the period of time over which</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">performance is evaluated. With respect to the portfolio managers, such benchmarks include</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a combination of market-based indices (e.g., CSFB Leveraged Loan Index, CSFB High</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Yield II Value Index), certain customized indices and certain fund industry peer groups.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock&#146;s Chief Investment Officers make a subjective determination with respect to the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">portfolio managers&#146; compensation based on the performance of the funds and other accounts</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">managed by each portfolio manager relative to the various benchmarks noted above.</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Performance is measured on both a pre-tax and after-tax basis over various time periods</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">including 1, 3, 5 and 10-year periods, as applicable.</FONT><BR>
<BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Distribution of Discretionary Incentive Compensation</FONT></B><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Discretionary incentive compensation is distributed to portfolio managers in a combination</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">years. The BlackRock, Inc. restricted stock units, if properly vested, will be settled in</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock, Inc. common stock. Typically, the cash bonus, when combined with base</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">salary, represents more than 60% of total compensation for the portfolio managers. Paying</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a portion of annual bonuses in stock puts compensation earned by a portfolio manager for a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">given year &#147;at risk&#148; based on BlackRock&#146;s ability to sustain and improve its performance</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">over future periods.</FONT><BR>
<BR>
<I><FONT size=2 face="TimesNewRomanPS-ItalicMT,Times New Roman,Times,serif">Long-Term Retention and Incentive Plan (&#147;LTIP&#148;) &#151; </FONT></I><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">From time to time long-</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">term incentive equity awards are granted to certain key employees to aid in retention, align</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">their interests with long-term shareholder interests and motivate performance. Equity</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">awards are generally granted in the form of BlackRock, Inc. restricted stock units that, once</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">vested, settle in BlackRock, Inc. common stock. Messrs. Hart and Marshall have each</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">received awards under the LTIP.</FONT><BR>
<BR>
<I><FONT size=2 face="TimesNewRomanPS-ItalicMT,Times New Roman,Times,serif">Deferred Compensation Program &#151; </FONT></I><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">A portion of the compensation paid to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">eligible BlackRock employees may be voluntarily deferred into an account that tracks the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">performance of certain of the firm&#146;s investment products. Each participant in the deferred</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">compensation program is permitted to allocate his deferred amounts among the various</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">investment options. Mr. Marshall has participated in the deferred compensation program.</FONT><BR>
<BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Other compensation benefits. </FONT></B><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">In addition to base compensation and discretionary</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">incentive compensation, portfolio managers may be eligible to receive or participate in one</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">or more of the following:</FONT><BR>
<BR>
<I><FONT size=2 face="TimesNewRomanPS-ItalicMT,Times New Roman,Times,serif">Incentive Savings Plans &#151; </FONT></I><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock, Inc. has created a variety of incentive</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">savings plans in which BlackRock employees are eligible to participate, including a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">company match equal to 50% of the first 6% of eligible pay contributed to the plan capped</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">at &#36;4,000 per year, and a company retirement contribution equal to 3-5% of eligible</FONT></P>

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<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">compensation. The RSP offers a range of investment options, including registered</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">investment companies managed by the firm. BlackRock contributions follow the investment</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">direction set by participants for their own contributions or, absent employee investment</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">direction, are invested into a balanced portfolio. The ESPP allows for investment in</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock common stock at a 5% discount on the fair market value of the stock on the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">or a dollar value of &#36;25,000. Each portfolio manager is eligible to participate in these plans.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a)(4) </FONT><I><FONT size=2 face="TimesNewRomanPS-ItalicMT,Times New Roman,Times,serif">Beneficial Ownership of Securities </FONT></I><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#150; As of August 31, 2010</FONT><I><FONT size=2 face="TimesNewRomanPS-ItalicMT,Times New Roman,Times,serif">.</FONT></I></P>
<DIV align="left">
<TABLE border=0 cellspacing=0>
<TR>
     <TD width=37%></TD>
     <TD width=62%></TD></TR>
<TR valign="bottom">
	<TD align=left>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Portfolio Manager</FONT></B>&nbsp;</TD>
	<TD align=left>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Dollar Range of Equity Securities</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">of the Fund Beneficially Owned</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Leland Hart</FONT>&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">None</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">C. Adrian Marshall</FONT>&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">None</FONT>&nbsp;</TD>
</TR>
</TABLE>
</DIV>
<P style="MARGIN:0px">&nbsp;</P>
<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(b) Not Applicable</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 due to no such purchases during the period covered</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">by this report.</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; On September 17, 2010, the Board</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of Directors of the Fund amended and restated in its entirety the bylaws of the Fund (the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#147;Amended and Restated Bylaws&#148;). The Amended and Restated Bylaws were deemed</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">effective as of September 17, 2010 and set forth, among other things, the processes and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">procedures that shareholders of the Fund must follow, and specifies additional information</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">that shareholders of the Fund must provide, when proposing director nominations at any</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">annual meeting or special meeting in lieu of an annual meeting or other business to be</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">considered at an annual meeting or special meeting.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 11 &#150; Controls and Procedures</FONT></P>
<P style="text-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 13a-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>

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<A name="page_105"></A><BR>

<P style="text-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; See Item 2</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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<A name="page_106"></A><BR>

<P style="text-align: left;">
<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 style="text-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 style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: November 5, 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 style="text-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 style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: November 5, 2010</FONT></P>
<P style="text-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 style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: November 5, 2010</FONT></P>

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

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<P style="text-align: left;">
<B><FONT size=2 face="Arial-BoldMT,Arial,Helvetica,sans-serif">EX-99.CERT</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND 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 style="text-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 style="text-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 style="text-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 style="text-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 style="text-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 style="text-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 style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: November 5, 2010</FONT><BR>
<BR>
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Anne F. Ackerley</FONT></U></P>
<P style="text-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>

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<P style="text-align: left;">
<B><FONT size=2 face="Arial-BoldMT,Arial,Helvetica,sans-serif">EX-99.CERT</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002</FONT></B></P>
<P style="text-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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Strategies Fund, Inc., certify that:</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1. I have reviewed this report on Form N-CSR of BlackRock Floating Rate Income Strategies Fund,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Inc.;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2. Based on my knowledge, this report does not contain any untrue statement of a material fact or</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">omit to state a material fact necessary to make the statements made, in light of the circumstances under</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">which such statements were made, not misleading with respect to the period covered by this report;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">3. Based on my knowledge, the financial statements, and other financial information included in this</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">report, fairly present in all material respects the financial condition, results of operations, changes in net</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">registrant as of, and for, the periods presented in this report;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Company Act of 1940) for the registrant and have:</FONT></P>
<P style="text-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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">procedures to be designed under our supervision, to ensure that material information relating to the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">registrant, including its consolidated subsidiaries, is made known to us by others within those</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">entities, particularly during the period in which this report is being prepared;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) designed such internal control over financial reporting, or caused such internal control</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">over financial reporting to be designed under our supervision, to provide reasonable assurance</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">regarding the reliability of financial reporting and the preparation of financial statements for</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">external purposes in accordance with generally accepted accounting principles;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">c) evaluated the effectiveness of the registrant's disclosure controls and procedures and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">presented in this report our conclusions about the effectiveness of the disclosure controls and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">procedures, as of a date within 90 days prior to the filing date of this report, based on such</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">evaluation; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">d) disclosed in this report any change in the registrant's internal control over financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reporting that occurred during the second fiscal quarter of the period covered by this report that</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">has materially affected, or is reasonably likely to materially affect, the registrant's internal control</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">over financial reporting; and</FONT></P>
<P style="text-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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">audit committee of the registrant's board of directors (or persons performing the equivalent functions):</FONT></P>
<P style="text-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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">control over financial reporting which are reasonably likely to adversely affect the registrant's</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">ability to record, process, summarize, and report financial information; and</FONT></P>
<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) any fraud, whether or not material, that involves management or other employees who</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">have a significant role in the registrant's internal control over financial reporting.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: November 5, 2010</FONT></P>

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<P style="text-align: left;">
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Neal J. Andrews</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Neal J. Andrews</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Financial Officer (principal financial officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT></P>

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<DOCUMENT>
<TYPE>EX-99.906 CERT
<SEQUENCE>9
<FILENAME>frasec906.htm
<DESCRIPTION>CERT
<TEXT>

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<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exhibit 99.1350CERT</FONT></P>
<P style="text-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 style="text-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&#146;s Report on Form N-CSR for the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">period ended August 31, 2010 (the &#147;Report&#148;) fully complies with the requirements of Section 13(a) of the Securities</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">respects, the financial condition and results of operations of the Registrant.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: November 5, 2010</FONT><BR>
<BR>
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Anne F. Ackerley</FONT></U></P>
<P style="text-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 style="text-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&#146;s Report on Form N-CSR for the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">period ended August 31, 2010 (the &#147;Report&#148;) fully complies with the requirements of Section 13(a) of the Securities</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">respects, the financial condition and results of operations of the Registrant.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: November 5, 2010</FONT><BR>
<BR>
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Neal J. Andrews</FONT></U></P>
<P style="text-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 style="text-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</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">amended, and 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR with the Securities and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exchange Commission</FONT><B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">.</FONT></B></P>

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<DOCUMENT>
<TYPE>EX-99.PROXYPOL
<SEQUENCE>10
<FILENAME>proxypol.htm
<DESCRIPTION>PROXY POLICY
<TEXT>

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<P align="center"> <FONT color="#006bb4" size=7 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Global corporate governance &amp;</FONT><BR>
<BR>
<FONT color="#006bb4" size=7 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">engagement principles</FONT></P>
<P align="left"> <I><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">December 2009</FONT></I></P>
<IMG src="proxypolx1x1.jpg" border=0>
<BR>
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<TR>
     <TD width=82%></TD>
     <TD width=17%></TD></TR>
<TR valign="bottom">
     <TD align=left> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">i)</FONT>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">1</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">. INTRODUCTION TO BLACKROCK</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">1</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">ii)</FONT>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">2</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">. PHILOSOPHY ON CORPORATE GOVERNACE</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">1</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">iii)</FONT>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">3</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">. CORPORATE GOVERNANCE, ENGAGEMENT AND VOTING</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">2</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Boards and directors</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">3</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Accounting and audit-related issues</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">5</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Capital structure, merger, asset sales and other special transactions</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">5</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Remuneration and benefits</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">5</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Social, ethical, and environmental issues</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">6</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">General corporate governance matters</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">7</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">iv)</FONT>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">4</FONT></B>&nbsp;</TD> </TR>
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     <TD align=left> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">. BLACKROCK&#146;S OVERSIGHT OF ITS CORPORATE GOVERNANCE ACTIVITIES</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">7</FONT></B>&nbsp;</TD> </TR>
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     <TD align=left> &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Oversight</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">7</FONT></B>&nbsp;</TD> </TR>
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     <TD align=left> &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Vote execution</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">8</FONT></B>&nbsp;</TD> </TR>
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     <TD align=left> &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Conflicts management</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">9</FONT></B>&nbsp;</TD> </TR>
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     <TD align=left> &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Voting guidelines</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">10</FONT></B>&nbsp;</TD> </TR>
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     <TD align=left> &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Reporting</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">10</FONT></B>&nbsp;</TD> </TR> </TABLE><BR>
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<P align="left"> <B><FONT color="#006bb4" size=4 face="AgencyFB-Bold,Arial,Helvetica,sans-serif">BLACKROCK</FONT></B><BR>
<BR>
<B><FONT color="#006bb4" size=4 face="AgencyFB-Bold,Arial,Helvetica,sans-serif">GLOBAL CORPORATE GOVERNANCE &amp; ENGAGEMENT PRINCIPLES</FONT></B></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">1. INTRODUCTION TO BLACKROCK</FONT></B></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock is the world&#146;s preeminent asset management firm and a premier provider of global investment management, risk</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">management and advisory services to institutional and individual clients around the world. With more than &#36;3.3 trillion</FONT><SUP><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">1 </FONT></SUP><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">in assets under</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">management, BlackRock offers a wide range of investment strategies and product structures to meet clients&#146; needs, including individual</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">and institutional separate accounts, mutual funds, and other pooled investment vehicles and the industry-leading iShares exchange</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">traded funds. Through BlackRock Solutions&#174;, we offer risk management, strategic advisory and enterprise investment system services</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">to a broad base of clients with portfolios totaling approximately US&#36;7.25 trillion.</FONT><SUP><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">1</FONT></SUP></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">2. PHILOSOPHY ON CORPORATE GOVERNACE</FONT></B></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock&#146;s corporate governance program is focused on protecting and enhancing the economic value of the companies in which it</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">invests on behalf of clients. We do this through engagement with boards and management of investee companies and, for those clients</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">who have given us authority, through voting at shareholder meetings.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We believe that there are certain fundamental rights attached to share ownership: companies should be accountable to shareholders for</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">the use of their money, companies and their boards should be structured with appropriate checks and balances to ensure that they</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">operate in shareholders&#146; interests, effective voting rights are central to the rights of ownership and there should be one vote for one</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">share. Key elements of shareholder protection include protection against excessive dilution, the election of directors and the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">appointment of auditors. Specifically, shareholders should have the right to elect, remove and nominate directors and to amend the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">corporate charter or by-laws. Shareholders should also be able to vote on matters that are material to the protection of their</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">investment including but not limited to changes to the purpose of the business, the distribution of income and the capital structure. In</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">order to exercise these rights in their own best interests, we believe shareholders have the right to sufficient and timely information to</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">be able to take an informed view of the performance of the company and management.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Our focus is on the board of directors, as the agents of shareholders, who should set the company&#146;s strategic aims within a framework</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">of prudent and effective controls which enables risk to be assessed and managed. The board should provide direction and leadership to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">the management and oversee their performance. Our starting position is to be supportive of boards in their oversight efforts on our</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">1 </FONT><I><FONT color="#333333" size=1 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Data is as of September 30, 2009, is subject to change, and is based on a pro forma estimate of assets under management at BlackRock, Inc.and Barclays Global</FONT></I></P>
<P align="left"> <I><FONT color="#333333" size=1 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Investors, N.A.</FONT></I></P>
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<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">behalf and the items of business they put to a shareholder vote at shareholder meetings. Votes against or withheld from resolutions</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">proposed by the board are a signal that we are concerned that the directors or management have either not acted in the interests of</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">shareholders or have not responded adequately to shareholder concerns communicated to it regarding the strategy or management of</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">a company.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">These principles set out our approach to engaging with companies, provide guidance on our position on the key aspects of corporate</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">governance and outline how these might be reflected in our voting decisions. Corporate governance practices vary internationally and</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">our expectations in relation to individual companies are based on the legal and regulatory framework of each market. However, we do</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">believe that there are some overarching principles of corporate governance that apply globally. We assess voting matters on a case-by-</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">case basis and in light of a company&#146;s unique circumstances. We are interested to understand from the company&#146;s reporting the</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">approach taken, particularly where it is different from the usual market practice and to understand how it benefits shareholders.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock also believes that shareholders are responsible for exercising oversight of, and promoting due care in, the stewardship of</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">their investment in a company. These ownership responsibilities include, in our view, engaging in certain circumstances with</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">management or board members on corporate governance matters, voting proxies in the best long-term economic interests of</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">shareholders and engaging with regulatory bodies to ensure a sound policy framework consistent with promoting long-term shareholder</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">value creation. Institutional shareholders also have responsibilities to their clients to have appropriate resources and oversight</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">structures. BlackRock&#146;s approach to oversight in relation to its corporate governance activities is set out in section 4.</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">3. CORPORATE GOVERNANCE, ENGAGEMENT AND VOTING</FONT></B></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We recognize that accepted standards of corporate governance differ between markets but we believe that there are sufficient common</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">threads globally to identify an overarching set of principles. The primary objective of our corporate governance activities is the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">protection and enhancement of our clients&#146; investments in public corporations. Thus, these principles focus on practices and structures</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">that we consider to be supportive of long-term value creation. We discuss below the principles under six key themes. In our regional</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">and market-specific voting guidelines we explain how these principles inform our voting decisions in relation to specific resolutions that</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">may appear on the agenda of a shareholder meeting in the relevant market.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">The six key themes are:</FONT></P>
<P align="left"> <FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Boards and directors</FONT><BR>
<BR>
<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Accounting and audit-related issues</FONT><BR>
<BR>
<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Capital structure, mergers, asset sales and other special transactions</FONT><BR>
<BR>
<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Remuneration and benefits</FONT></P>
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<P align="left"> <FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Social, ethical and environmental issues</FONT><BR>
<BR>
<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">General corporate governance matters</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">At a minimum we would expect companies to observe the accepted corporate governance standard in their domestic market or to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">explain why doing so is not in the interests of shareholders. Where company reporting and disclosure is inadequate or the approach</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">taken is inconsistent with our view of what is in the best interests of shareholders we will engage with the company and/or use our vote</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">to encourage better practice. In making voting decisions, we take into account research from external proxy advisors, other internal</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">and external research and academic articles, information published by the company or provided through engagement and the views of</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">our equity</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">portfolio managers.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock views engagement as an important activity; engagement provides BlackRock with the opportunity to improve our</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">understanding of investee companies and their governance structures, so that our voting decisions may be better informed.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Engagement also allows us to share our philosophy and approach to investment and corporate governance with issuers to enhance their</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">understanding of our objectives. There are a range of approaches we may take in engaging companies depending on the nature of the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">issue under consideration, the company and the market.</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Boards and directors</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">The performance of the board is critical to the economic success of the company and to the protection of shareholders&#146; interests. Board</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">members serve as agents of shareholders in overseeing the operation and strategic direction of the company. For this reason,</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock focuses on directors in many of its engagements and sees the election of directors as one of its most important</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">responsibilities in the proxy voting context.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We expect the board of directors to promote and protect shareholder interests by:</FONT></P>
<P align="left"> <FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">establishing an appropriate corporate governance structure;</FONT><BR>
<BR>
<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">overseeing and supporting management in setting strategy;</FONT><BR>
<BR>
<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">ensuring the integrity of financial statements;</FONT><BR>
<BR>
<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">making decisions regarding mergers, acquisitions and disposals;</FONT><BR>
<BR>
<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">establishing appropriate executive compensation structures; and</FONT><BR>
<BR>
<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">addressing business issues including social, ethical and environmental issues when they have the potential to materially</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">impact company reputation and performance.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">There should be clear definitions of the role of the board, the sub-committees of the board and the senior management such that the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">responsibilities of each are well understood and accepted. Companies should report publicly the approach taken to governance</FONT></P>
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<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">(including in relation to board structure) and why this approach is in the interest of shareholders. We will engage with the appropriate</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">directors where we have concerns about the performance of the board or the company, the broad strategy of the company or the</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">performance of individual board members. Concerns about individual board directors may include their membership on the board of a</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">different company where that board has performed poorly and failed to protect shareholder interests.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock believes that directors should stand for re-election on a regular basis. We assess directors nominated for election or re-</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">election in the context of the composition of the board as a whole. There should be detailed disclosure of the relevant credentials of the</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">individual directors in order that shareholders can assess the caliber of an individual nominee. We expect there to be a sufficient</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">number of independent directors on the board to ensure the protection of the interests of all shareholders. Common impediments to</FONT><BR>
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<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">independence include but are not limited to:</FONT></P>
<P align="left"> <FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">current employment at the company or a subsidiary;</FONT><BR>
<BR>
<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">former employment within the past several years as an executive of the company;</FONT><BR>
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<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">providing substantial professional services to the company and/or members of the company&#146;s management;</FONT><BR>
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<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">having had a substantial business relationship in the past three years;</FONT><BR>
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<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">having, or representing a shareholder with, a substantial shareholding in the company;</FONT><BR>
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<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">being an immediate family member of any of the aforementioned; and</FONT><BR>
<BR>
<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">interlocking directorships.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock believes that the operation of the board is enhanced when there is a clearly independent, senior non-executive director to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">lead it. Where the chairman is also the CEO or is otherwise not independent the company should have an independent lead director. The</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">role of this director is to enhance the effectiveness of the independent members of the board through shaping the agenda, ensuring</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">adequate information is provided to the board and encouraging independent participation in board deliberations. The lead independent</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">board director should be available to shareholders where they have concerns that they wish to discuss.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">To ensure that the board remains effective, regular reviews of board performance should be carried out and assessments made of gaps</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">in skills or experience amongst the members. BlackRock believes it is beneficial for new directors to be brought onto the board</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">periodically to refresh the group&#146;s thinking and to ensure both continuity and adequate succession planning. We believe that directors</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">are in the best position to assess the optimal size for the board but we would be concerned if a board seemed too small to have an</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">appropriate balance of directors or too large to be effective.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">There are matters for which the board has responsibility that may involve a conflict of interest for executives or for affiliated directors.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock believes that shareholders&#146; interests are best served when the independent members of the board form a sub-committee to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">deal with such matters. In many markets, these sub-committees of the board specialize in audit, director nominations and compensation</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">matters. An ad hoc committee might also be formed to decide on a special transaction, particularly one with a related party.</FONT></P>
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<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Accounting and audit-related issues</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock recognizes the critical importance of financial statements which provide a complete and accurate picture of a company&#146;s</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">financial condition. We will hold the members of the audit committee or equivalent responsible for overseeing the management of the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">audit function. We take particular note of cases involving significant financial restatements or ad hoc notifications of material financial</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">weakness.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">The integrity of financial statements depends on the auditor being free of any impediments to being an effective check on management.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">To that end, we believe it is important that auditors are, and are seen to be, independent. Where the audit firm provides services to the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">company in addition to the audit the fees earned should be disclosed and explained. Audit committees should also have in place a</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">procedure for assuring annually the independence of the auditor.</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Capital structure, merger, asset sales and other special transactions</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">The capital structure of a company is critical to its owners, the shareholders, as it impacts the value of their investment and the priority</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">of their interest in the company relative to that of other equity or debt investors. Pre-emption rights are a key protection for</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">shareholders against the dilution of</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">their interests.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">In assessing mergers, asset sales or other special transactions, BlackRock&#146;s primary consideration is the long-term economic interests</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">of shareholders. Boards proposing a transaction need to clearly explain the economic and strategic rationale behind it. We will review</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">the transaction to determine the degree to which the proposed transaction enhances long term shareholder value. We would prefer that</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">such transactions have the unanimous support of the board and have been negotiated at arm&#146;s length. We may seek reassurance from</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">the board that executive and/or board members&#146; financial interests in a given transaction have not affected their ability to place</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">shareholders&#146; interests before their own. Where the transaction does involve related parties we would expect the recommendation to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">support it to come from the independent directors and would prefer only non-conflicted shareholders to vote on the proposal.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock believes that shareholders have a right to dispose of company shares in the open market without unnecessary restriction. In</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">our view, corporate mechanisms designed to limit shareholders&#146; ability to sell their shares are contrary to basic property rights. Such</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">mechanisms can serve to protect and entrench interests other than those of the shareholders. We believe that shareholders are</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">broadly capable of making decisions in their own best interests. We would expect any so-called &#145;shareholder rights plans&#146; being</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">proposed by a board to be subject to shareholder approval on introduction and periodically thereafter for continuation.</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Remuneration and benefits</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock expects a company&#146;s board of directors to put in place a compensation structure that incentivizes and rewards executives</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">appropriately and is aligned with shareholder interests. We would expect the compensation committee to take into account the specific</FONT></P>
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<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">circumstances of the company and the key individuals the board is trying to incentivize. We encourage companies to ensure that their</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">compensation packages incorporate appropriate and challenging performance conditions consistent with corporate strategy and market</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">practice. We use third party research, in addition to our own analysis, to evaluate existing and proposed compensation structures. We</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">hold members of the compensation committee or equivalent accountable for poor compensation practices or structures.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock believes that there should be a clear link between variable pay and company performance as reflected in returns to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">shareholders. We are not supportive of one-off or special bonuses unrelated to company or individual performance. We support</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">incentive plans that payout rewards earned over multiple and extended time periods. We believe consideration should be given to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">building claw back provisions into incentive plans such that executives would be required to repay rewards where they were not justified</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">by actual performance. Compensation committees should guard against contractual arrangements that would entitle executives to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">material compensation for early termination of their contract. Finally, pension contributions should be reasonable in light of market</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">practice.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Outside directors should be compensated in a manner that does not risk compromising their independence or aligning their interests too</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">closely with those of the management, whom they are charged with overseeing.</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Social, ethical, and environmental issues</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Our fiduciary duty to clients is to protect and enhance their economic interest in the companies in which we invest on their behalf. It is</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">within this context that we undertake our corporate governance activities. We believe that well-managed companies will deal effectively</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">with the social, ethical and environmental (SEE) aspects of their businesses.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock expects companies to identify and report on the key, business-specific SEE risks and opportunities and to explain how these</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">are managed. This explanation should make clear how the approach taken by the company best serves the interests of shareholders and</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">protects and enhances the long-term economic value of the company. The key performance indicators in relation to SEE matters should</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">also be disclosed and performance against them discussed, along with any peer group benchmarking and verification processes in place.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">This helps shareholders assess how well management are dealing with the SEE aspects of the business. Any global standards adopted</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">should also be disclosed and discussed in this context.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We may vote against the election of directors where we have concerns that a company might not be dealing with SEE issues</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">appropriately. Sometimes we may reflect such concerns by supporting a shareholder proposal on the issue, where there seems to be</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">either a significant potential threat or realized harm to shareholders&#146; interests caused by poor management of SEE matters. In deciding</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">our course of action, we will assess whether the company has already taken sufficient steps to address the concern and whether there</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">is a clear and substantial economic disadvantage to the company if the issue is not addressed.</FONT></P>
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<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">More commonly, given that these are often not voting issues, we will engage directly with the board or management. The trigger for</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">engagement on a particular SEE concern is our assessment that there is potential for material economic ramifications for shareholders.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We do not see it as our role to make social, ethical or political judgments on behalf of clients. We expect investee companies to comply,</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">as a minimum, with the laws and regulations of the jurisdictions in which they operate. They should explain how they manage situations</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">where such laws or regulations are contradictory or ambiguous.</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">General corporate governance matters</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock believes that shareholders have a right to timely and detailed information on the financial performance and situation of the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">companies in which they invest. In addition, companies should also publish information on the governance structures in place and the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">rights of shareholders to influence these. The reporting and disclosure provided by companies forms the basis on which shareholders</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">can assess the extent to which the economic interests of shareholders have been protected and enhanced and the quality of the board&#146;s</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">oversight of management. BlackRock considers as fundamental, shareholders&#146; rights to vote, including on changes to governance</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">mechanisms, to submit proposals to the shareholders&#146; meeting and to call special meetings of shareholders.</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">4. BLACKROCK&#146;S OVERSIGHT OF ITS CORPORATE GOVERNANCE ACTIVITIES</FONT></B></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Oversight</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock holds itself to a very high standard in its corporate governance activities, including in relation to executing proxy votes. The</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Global Corporate Governance Group reports in to the equity business and is considered an investment function. BlackRock maintains</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">regional oversight committees (&#147;corporate governance committees&#148;) for the Americas, Europe, Asia ex-Japan, Japan, and</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Australia/New Zealand, consisting of senior BlackRock investment professionals. All the regional committees report up to the Global</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Corporate Governance Committee which is composed of the Chair and Vice-Chair of each regional committee. The committees review</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">and approve amendments to the BlackRock Guidelines and grant authority to the Global Head of Corporate Governance (&#147;Global Head&#148;), a</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">dedicated BlackRock employee without sales responsibilities, to vote in accordance with the Guidelines. The Global Head leads a team of</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">dedicated BlackRock employees without sales responsibilities (&#147;Corporate Governance Group&#148;) to carry out engagement, voting and vote</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">operations in a manner consistent with the committees&#146; mandate. The Corporate Governance Group engages companies in conjunction</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">with the portfolio managers in discussions of significant governance issues, conducts research on corporate governance issues and</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">participates in industry discussions to keep abreast of the field of corporate governance. The Corporate Governance Group, or vendors</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">overseen by the Corporate Governance Group, also monitor upcoming proxy votes, execute proxy votes and maintain records of votes</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">cast. The Corporate Governance Group may refer complicated or particularly controversial matters or discussions to the appropriate</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">investors and/or regional Corporate Governance Committees for their review, discussion and guidance prior to making a voting</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">decision. The Committees likewise retain the authority to, among other things, deliberate or otherwise act directly on specific proxies as</FONT></P>
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<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">they deem appropriate. BlackRock's Equity Investment Portfolio Oversight Committee (EIPOC) oversees certain aspects of the Global</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Corporate Governance Committee and the corporate governance function&#146;s activities.</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Vote execution</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock carefully considers proxies submitted to funds and other fiduciary accounts (&#147;Funds&#148;) for which it has voting authority.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock votes (or refrains from voting) proxies for each Fund for which it has voting authority based on BlackRock&#146;s evaluation of the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">best long-term economic interests of shareholders, in the exercise of its independent business judgment, and without regard to the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">relationship of the issuer of the proxy (or any dissident shareholder) to the Fund, the Fund&#146;s affiliates (if any), BlackRock or BlackRock&#146;s</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">affiliates.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">When exercising voting rights, BlackRock will normally vote on specific proxy issues in accordance with its proxy voting guidelines</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">(&#147;Guidelines&#148;) for the relevant market. The Guidelines are reviewed regularly and are amended consistent with changes in the local</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">market practice, as developments in corporate governance occur, or as otherwise deemed advisable by BlackRock&#146;s Corporate</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Governance Committees. The committees may, in the exercise of their business judgment, conclude that the Guidelines do not cover the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">specific matter upon which a proxy vote is requested or that an exception to the Guidelines would be in the best long-term economic</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">interests of BlackRock&#146;s clients.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">In certain markets, proxy voting involves logistical issues which can affect BlackRock&#146;s ability to vote such proxies, as well as the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">desirability of voting such proxies. These issues include but are not limited to: (i) untimely notice of shareholder meetings; (ii)</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">restrictions on a foreigner&#146;s ability to exercise votes; (iii) requirements to vote proxies in person; (iv) &#147;shareblocking&#148; (requirements</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">that investors who exercise their voting rights surrender the right to dispose of their holdings for some specified period in proximity to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">the shareholder meeting); (v) potential difficulties in translating the proxy; and (vi) requirements to provide local agents with</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">unrestricted powers of attorney to facilitate voting instructions. We are not supportive of impediments to the exercise of voting rights</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">such as shareblocking or overly burdensome administrative requirements.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">As a consequence, BlackRock votes proxies in these markets only on a &#147;best-efforts&#148; basis. In addition, the Corporate Governance</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Committees may determine that it is generally in the best interests of BlackRock clients not to vote proxies of companies in certain</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">countries if the committee determines that the costs (including but not limited to opportunity costs associated with shareblocking</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">constraints) associated with exercising a vote are expected to outweigh the benefit the client will derive by voting on the issuer&#146;s</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">proposal.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">While it is expected that BlackRock, as a fiduciary, will generally seek to vote proxies over which BlackRock exercises voting authority in</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">a uniform manner for all BlackRock clients, the relevant Corporate Governance Committee, in conjunction with the portfolio manager of</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">an account, may determine that the specific circumstances of such an account require that such account&#146;s proxies be voted differently</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">due to such account&#146;s investment objective or other factors that differentiate it from other accounts. In addition, BlackRock believes</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">portfolio managers may from time to time legitimately reach differing but equally valid views, as fiduciaries for their funds and the client</FONT></P>
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<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">assets in those funds, on how best to maximize economic value in respect of a particular investment. Accordingly, portfolio managers</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">retain full discretion to vote the shares in the funds they manage based on their analysis of the economic impact of a particular ballot</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">item.</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Conflicts management</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock maintains policies and procedures that are designed to prevent undue influence on BlackRock's proxy voting activity that</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">might stem from any relationship between the issuer of a proxy (or any dissident shareholder) and BlackRock, BlackRock's affiliates, a</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Fund or a Fund's affiliates. Some of the steps BlackRock has taken to prevent conflicts include, but are not limited to:</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock has adopted a proxy voting oversight structure whereby the Corporate Governance Committees oversee the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">voting decisions and other activities of the Global Corporate Governance Group, and particularly its activities with respect to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">voting in the relevant region of each committee&#146;s jurisdiction.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">The Corporate Governance Committees have adopted Guidelines for each region, which set forth the firm&#146;s views with</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">respect to certain corporate governance and other issues that typically arise in the proxy voting context. The Corporate</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Governance Committee reserves the right to review voting decisions at any time and to make voting decisions as necessary</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">to ensure the independence and integrity of the voting process. In addition, the Committee receives periodic reports</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">regarding the specific votes cast by the Corporate Governance Group and regular updates on material process issues,</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">procedural changes and other matters of concern to the Committee.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock&#146;s Global Corporate Governance Committee oversees the Global Head, the Corporate Governance Group and the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Corporate Governance Committees. The Global Corporate Governance Committee conducts a review, at least annually, of the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">proxy voting process to ensure compliance with BlackRock&#146;s risk policies and procedures.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock maintains a reporting structure that separates the Global Head and Corporate Governance Group from employees</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">with sales responsibilities. In addition, BlackRock maintains procedures to ensure that all engagements with corporate</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">issuers or dissident shareholders are managed consistently and without regard to BlackRock&#146;s relationship with the issuer of</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">the proxy or dissident shareholder. Within the normal course of business, the Global Head or Corporate Governance Group</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">may engage directly with BlackRock clients, and with employees with sales responsibilities, in discussions regarding general</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">corporate governance policy matters, and to otherwise ensure proxy-related client service levels are met. The Global Head</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">or Corporate Governance Group does not discuss any specific voting matter with a client prior to the disclosure of the vote</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">decision to all applicable clients after the shareholder meeting has taken place, except if the client is acting in the capacity as</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">issuer of the proxy or dissident shareholder and is engaging through the established procedures independent of the client</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">relationship.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">In certain instances, BlackRock may determine to engage an independent fiduciary to vote proxies as a further safeguard to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">avoid potential conflicts of interest or as otherwise required by applicable law. The independent fiduciary may either vote</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">such proxies, or provide BlackRock with instructions as to how to vote such proxies. In the latter case, BlackRock votes the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">proxy in accordance with the independent fiduciary&#146;s determination. Use of an independent fiduciary has been adopted for</FONT></P>
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<P align="center"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">voting the proxies related to any company that is affiliated with BlackRock, or any company that includes BlackRock</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">employees on its board of directors.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">With regard to the relationship between securities lending and proxy voting, BlackRock&#146;s approach is driven by our clients&#146; economic</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">interests. The evaluation of the economic desirability of recalling loans involves balancing the revenue producing value of loans against</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">the likely economic value of casting votes. Based on our evaluation of this relationship, we believe that generally the likely economic</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">value of casting most votes is less than the securities lending income, either because the votes will not have significant economic</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">consequences or because the outcome of the vote would not be affected by BlackRock recalling loaned securities in order to ensure they</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">are voted. Periodically, BlackRock analyzes the process and benefits of voting proxies for securities on loan, and will consider whether</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">any modification of its proxy voting policies or procedures is necessary in light of future conditions. In addition, BlackRock may in its</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">discretion determine that the value of voting outweighs the cost of recalling shares, and thus recall shares to vote in that instance.</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Voting guidelines</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">The attached issue-specific voting Guidelines for each region/country in which we vote are intended to summarize BlackRock&#146;s general</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">philosophy and approach to issues that may commonly arise in the proxy voting context in each market where we invest. These</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Guidelines are not intended to be exhaustive. BlackRock applies the Guidelines on a case-by-case basis, in the context of the individual</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">circumstances of each company and the specific issue under review. As such, these Guidelines do not provide a guide to how BlackRock</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">will vote in every instance. Rather, they share our view about corporate governance issues generally, and provide insight into how we</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">typically approach issues that commonly arise on corporate ballots.</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Reporting</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We report our proxy voting activity directly to clients and publically as required. In addition, we publish for clients a more detailed</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">discussion of our corporate governance activities, including engagement with companies and with other relevant parties.</FONT></P>
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<P align="center"> <FONT color="#006bb4" size=7 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Proxy voting guidelines for</FONT><BR>
<BR>
<FONT color="#006bb4" size=7 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">U.S. securities</FONT></P>
<P align="left"> <I><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">December 2009</FONT></I></P>
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<P align="center"> <B><FONT color="#006bb4" size=4 face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Table of contents</FONT></B></P>
<TABLE border=0 cellspacing=0>
<TR>
     <TD width=83%></TD>
     <TD width=16%></TD></TR>
<TR valign="bottom">
     <TD align=left> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">v)</FONT>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">I</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">NTRODUCTION</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">1</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">vi)</FONT>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">V</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">OTING GUIDELINES</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">1</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Boards and directors</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">1</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Auditors and audit-related issues</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">6</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Capital structure, mergers, asset sales and other special transactions</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">6</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Remuneration and benefits</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">10</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Social, ethical and environmental issues</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">12</FONT></B>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left> &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">General corporate governance matters</FONT></B>&nbsp;</TD>
     <TD align=right> <B><FONT color="#00599b" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">13</FONT></B>&nbsp;</TD> </TR> </TABLE><BR>
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<P align="center"> <B><FONT color="#006bb4" size=4 face="AgencyFB-Bold,Arial,Helvetica,sans-serif">BLACKROCK</FONT></B><BR>
<BR>
<B><FONT color="#006bb4" size=4 face="AgencyFB-Bold,Arial,Helvetica,sans-serif">PROXY VOTING GUIDELINES FOR U.S. SECURITIES</FONT></B></P>
<P align="left"> <I><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">These guidelines should be read in conjunction with BlackRock&#146;s Global Corporate Governance and Engagement Principles.</FONT></I></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">INTRODUCTION</FONT></B></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock, Inc. and its subsidiaries (collectively, &#147;BlackRock&#148;) seek to make proxy voting decisions in the manner most likely to protect</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">and promote the economic value of the securities held in client accounts. The following issue-specific proxy voting guidelines (the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">&#147;Guidelines&#148;) are intended to summarize BlackRock&#146;s general philosophy and approach to issues that may commonly arise in the proxy</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">voting context for U.S. Securities. These Guidelines are not intended to limit the analysis of individual issues at specific companies and</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">are not intended to provide a guide to how BlackRock will vote in every instance. Rather, they share our view about corporate</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">governance issues generally, and provide insight into how we typically approach issues that commonly arise on corporate ballots. They</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">are applied with discretion, taking into consideration the range of issues and facts specific to the company and the individual ballot item.</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">VOTING GUIDELINES</FONT></B></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">These guidelines are divided into six key themes which group together the issues that frequently appear on the agenda of annual and</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">extraordinary meetings of shareholders.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">The six key themes are:</FONT></P>
<P align="left"> <FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Boards and directors</FONT><BR>
<BR>
<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Auditors and audit-related issues</FONT><BR>
<BR>
<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Capital structure, mergers, asset sales and other special transactions</FONT><BR>
<BR>
<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Remuneration and benefits</FONT><BR>
<BR>
<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Social, ethical and environmental issues</FONT><BR>
<BR>
<FONT color="#00599b" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">General corporate governance matters</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Boards and directors</FONT></B></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Director elections</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock generally supports board nominees in most uncontested elections. However, BlackRock may withhold votes from</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">the entire board in certain situations, including, but not limited to:</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">1</FONT></P>
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<P align="center"> <FONT color="#00599b" size=1 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock global corporate governance &amp; engagement principles</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Where a board fails to implement shareholder proposals that receive a majority of votes cast at a prior shareholder</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">meeting, and the proposals, in our view, have a direct and substantial impact on shareholders&#146; fundamental rights or</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">long-term economic interests.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Where a board implements or renews a poison pill without seeking shareholder approval beforehand or within a</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">reasonable period of time after implementation.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock may withhold votes from members of particular board committees (or prior members, as the case may be) in</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">certain situations, including, but not limited to:</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">An insider or affiliated outsider who sits on any of the board&#146;s key committees (i.e., audit, compensation, nominating and</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">governance), which we believe generally should be entirely independent. However, BlackRock will examine a board&#146;s</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">complete profile when questions of independence arise prior to casting a withhold vote for any director. For controlled</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">companies, as defined by the U.S. stock exchanges, we will only vote against insiders or affiliates who sit on the audit</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">committee, but not other key committees.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Members of the audit committee during a period when the board failed to facilitate quality, independent auditing.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Members of the audit committee where substantial accounting irregularities suggest insufficient oversight by that</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">committee.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Members of the audit committee during a period in which we believe the company has aggressively accounted for its</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">equity compensation plans.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Members of the compensation committee during a period in which executive compensation appears excessive relative to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">performance and peers, and where we believe the compensation committee has not already substantially addressed this</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">issue.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Members of the compensation committee where the company has repriced options without contemporaneous</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">shareholder approval.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">The chair of the nominating committee, or where no chair exists, the nominating committee member with the longest</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">tenure, where board members have previously received substantial withhold votes and the board has not taken</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">appropriate action to respond to shareholder concerns. This may not apply in cases where BlackRock did not support the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">initial withhold vote.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">The chair of the nominating committee, or where no chair exists, the nominating committee member with the longest</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">tenure, where the board is not composed of a majority of independent directors. However, this would not apply in the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">case of a controlled company.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock may withhold votes from individual board members in certain situations, including, but not limited to:</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">2</FONT></P>
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<P align="center"> <FONT color="#00599b" size=1 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock global corporate governance &amp; engagement principles</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Where BlackRock obtains evidence that casts significant doubt on a director&#146;s qualifications or ability to represent</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">shareholders.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Where it appears the director has acted (at the company or at other companies) in a manner that compromises his or</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">her reliability in representing the best long-term economic interests of shareholders.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="SymbolMT,Times New Roman,Times,serif">&#183; </FONT><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Where a director has a pattern of attending less than 75% of combined board and applicable key committee meetings.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Age limits / term limits</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We typically oppose limits on the pool of directors from which shareholders can choose their representatives, especially</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">where those limits are arbitrary or unrelated to the specific performance or experience of the director in question.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Board size</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We generally defer to the board in setting the appropriate size. We believe directors are generally in the best position to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">assess what size is optimal to ensure a board&#146;s effectiveness. However, we may oppose boards that appear too small to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">allow for effective shareholder representation or too large to function efficiently.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Classified board of directors / staggered terms</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">A classified board of directors is one that is divided into classes (generally three), each of which is elected on a staggered</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">schedule (generally for three years). At each annual meeting, only a single class of directors is subject to reelection</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">(generally one-third of the entire board).</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We believe that classification of the board dilutes shareholders&#146; right to evaluate promptly a board&#146;s performance and limits</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">shareholder selection of their representatives. By not having the mechanism to immediately address concerns we may have</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">with any specific director, we lose the ability to provide valuable feedback to the company. Furthermore, where boards are</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">classified, director entrenchment is more likely, because review of board service generally only occurs every three years.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Therefore, we typically vote against classification and for proposals to eliminate board classification.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Cumulative voting for directors</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Cumulative voting allocates one vote for each share of stock held, times the number of directors subject to election. A</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">shareholder may cumulate his/her votes and cast all of them in favor of a single candidate, or split them among any</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">combination of candidates. By making it possible to use their cumulated votes to elect at least one board member, cumulative</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">voting is typically a mechanism through which minority shareholders attempt to secure board representation.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">3</FONT></P>
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<P align="center"> <FONT color="#00599b" size=1 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock global corporate governance &amp; engagement principles</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock may support cumulative voting proposals at companies where the board is not majority independent. However, we</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">may oppose proposals that further the candidacy of minority shareholders whose interests do not coincide with our fiduciary</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">responsibility.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Director compensation and equity programs</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We believe that compensation for independent directors should be structured to align the interests of the directors with</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">those of shareholders, whom the directors have been elected to represent. We believe that independent director</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">compensation packages based on the company's long-term performance and that include some form of long-term equity</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">compensation are more likely to meet this goal; therefore, we typically support proposals to provide such compensation</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">packages. However, we will generally oppose shareholder proposals requiring directors to own a minimum amount of</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">company stock, as we believe that companies should maintain flexibility in administering compensation and equity programs</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">for independent directors, given each company&#146;s and director&#146;s</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">unique circumstances.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Indemnification of directors and officers</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We generally support reasonable but balanced protection of directors and officers. We believe that failure to provide</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">protection to directors and officers might severely limit a company's ability to attract and retain competent leadership. We</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">generally support proposals to provide indemnification that is limited to coverage of legal expenses. However, we may</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">oppose proposals that provide indemnity for: breaches of the duty of loyalty; transactions from which a director derives an</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">improper personal benefit; and actions or omissions not in good faith or those that involve intentional misconduct.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Independent board composition</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We generally support shareholder proposals requesting that the board consist of a two-thirds majority of independent</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">outside directors, as we believe that an independent board faces fewer conflicts and is best prepared to protect shareholder</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">interests.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Liability insurance for directors and officers</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Proposals regarding liability insurance for directors and officers often appear separately from indemnification proposals. We</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">will generally support insurance against liability for acts committed in an individual's capacity as a director or officer of a</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">company following the same approach described above with respect to indemnification.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">4</FONT></P>
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<P align="center"> <FONT color="#00599b" size=1 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock global corporate governance &amp; engagement principles</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Limits on director removal</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Occasionally, proposals contain a clause stipulating that directors may be removed only for cause. We oppose this limitation</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">of shareholders&#146; rights.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Majority vote requirements</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock generally supports the concept of director election by majority vote. Majority voting standards assist in ensuring</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">that directors who are not broadly supported by shareholders are not elected to serve as their representatives. However,</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">we also recognize that there are many methods for implementing majority vote proposals. Where we believe that the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">company already has a sufficiently robust majority voting process in place, we may not support a shareholder proposal</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">seeking an alternative mechanism.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Separation of chairman and CEO positions</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We generally support shareholder proposals requesting that the positions of chairman and CEO be separated. We may</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">consider the designation of a lead director to suffice in lieu of an independent chair, but will take into consideration the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">structure of that lead director&#146;s position and overall corporate governance of the company in such cases.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Shareholder access to the proxy</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We believe that shareholders should have the opportunity, when necessary and under reasonable conditions, to nominate</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">individuals to stand for election to the boards of the companies they own. In our view, securing a right of shareholders to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">nominate directors without engaging in a control contest can enhance shareholders&#146; ability to participate meaningfully in the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">director election process, stimulate board attention to shareholder interests, and provide shareholders an effective means</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">of directing that attention where it</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">is lacking.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We prefer an access mechanism that is equally applied to companies throughout the market with sufficient protections to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">limit the potential for abuse. Absent such a mechanism under current law, we consider these proposals on a case-by-case</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">basis. In evaluating a proposal requesting shareholder access at a company, we consider whether access is warranted at</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">that particular company at that time by taking into account the overall governance structure of the company as well as</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">issues specific to that company that may necessitate greater board accountability. We also look for certain minimum</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">ownership threshold requirements, stipulations that access can be used only in non-hostile situations, and reasonable limits</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">on the number of board members that can be replaced through such a mechanism.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">5</FONT></P>
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<P align="center"> <FONT color="#00599b" size=1 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock global corporate governance &amp; engagement principles</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Auditors and audit-related issues</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock recognizes the critical importance of financial statements that provide a complete and accurate portrayal of a company&#146;s</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">financial condition. Consistent with our approach to voting on boards of directors, we seek to hold the audit committee of the board</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">responsible for overseeing the management of the audit function at a company, and may withhold votes from the audit committee&#146;s</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">members where the board has failed to facilitate quality, independent auditing. We take particular note of cases involving significant</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">financial restatements or material weakness disclosures.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">The integrity of financial statements depends on the auditor effectively fulfilling its role. To that end, we favor an independent auditor. In</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">addition, to the extent that an auditor fails to reasonably identify and address issues that eventually lead to a significant financial</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">restatement, or the audit firm has violated standards of practice that protect the interests of shareholders, we may also vote</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">against ratification.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">From time to time, shareholder proposals may be presented to promote auditor independence or the rotation of audit firms. We may</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">support these proposals when they are consistent with our views as described above.</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Capital structure, mergers, asset sales and other special transactions</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">In reviewing merger and asset sale proposals, BlackRock's primary concern is the best long-term economic interests of shareholders.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">While these proposals vary widely in scope and substance, we closely examine certain salient features in our analyses. The varied nature</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">of these proposals ensures that the following list will be incomplete. However, the key factors that we typically evaluate in considering</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">these proposals include:</FONT></P>
<P align="left"> <B><FONT color="#333333" size=4 face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Market premium: </FONT></B><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">For mergers and asset sales, we make every attempt to determine the degree to which the proposed</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">transaction represents a premium to the company's trading price. In order to filter out the effects of pre-merger news leaks on the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">parties' share prices, we consider a share price from a time period in advance of the merger announcement. In most cases, business</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">combinations should provide a premium; benchmark premiums vary by industry and direct peer group. Where one party is privately held,</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">we look to the comparable transaction analyses provided by the parties' financial advisors. For companies facing insolvency or</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">bankruptcy, a market premium may not apply.</FONT></P>
<P align="left"> <B><FONT color="#333333" size=4 face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Strategic reason for transaction: </FONT></B><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">There should be a favorable business reason for the combination.</FONT><BR>
<BR>
<B><FONT color="#333333" size=4 face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Board approval/transaction history: </FONT></B><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Unanimous board approval and arm's-length negotiations are preferred. We</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">examine transactions that involve dissenting boards or that were not the result of an arm's-length bidding process to evaluate the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">likelihood that a transaction is in shareholders&#146; interests. We also seek to ensure that executive and/or board members&#146; financial</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">interests in a given transaction do not affect their ability to place shareholders&#146; interests before their own.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">6</FONT></P>
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<P align="center"> <FONT color="#00599b" size=1 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock global corporate governance &amp; engagement principles</FONT></P>
<P align="left"> <B><FONT color="#333333" size=4 face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Financial advisors' fairness opinions: </FONT></B><FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We scrutinize transaction proposals that do not include the fairness opinion of a</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">reputable financial advisor to evaluate whether shareholders&#146; interests were sufficiently protected in the merger process.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Anti-greenmail provisions</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Greenmail is typically defined as payments to a corporate raider to terminate a takeover attempt. It may also occasionally</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">refer to payments made to a dissident shareholder in order to terminate a potential proxy contest or shareholder proposal.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We typically view such payments as a misuse of corporate assets which denies shareholders the opportunity to review a</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">matter of direct economic concern and potential benefit to them. Therefore, we generally support proposals to prevent</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">boards from making greenmail payments. However, we generally will oppose provisions designed to limit greenmail payments</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">that appear to unduly burden or prohibit legitimate use of corporate funds.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Blank check preferred</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">See Preferred Stock.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Eliminate preemptive rights</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Preemptive rights give current shareholders the opportunity to maintain their current percentage ownership despite any</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">subsequent equity offerings. These provisions are no longer common in the U.S., and may restrict management's ability to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">raise new capital.</FONT></P>
<P align="center"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We generally support the elimination of preemptive rights, but will often oppose the elimination of limited preemptive rights,</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">(e.g., rights that would limit proposed issuances representing more than an acceptable level of dilution).</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Equal voting rights</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock supports the concept of equal voting rights for all shareholders. Some management proposals request</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">authorization to allow a class of common stock to have superior voting rights over the existing common or to allow a class of</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">common to elect a majority of the board. We oppose such differential voting power as it may have the effect of denying</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">shareholders the opportunity to vote on matters of critical economic importance to them.</FONT></P>
<P align="center"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">However, when a shareholder proposal requests to eliminate an existing dual-class voting structure, we seek to determine</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">whether this action is warranted at that company at that time, and whether the cost of restructuring will have a clear</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">7</FONT></P>
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<P align="center"> <FONT color="#00599b" size=1 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock global corporate governance &amp; engagement principles</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">economic benefit to shareholders. We evaluate these proposals on a case-by-case basis, and we consider the level and</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">nature of control associated with the dual-class voting structure as well as the company&#146;s history of responsiveness to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">shareholders in determining whether support of such a measure is appropriate.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Fair price provisions</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Originally drafted to protect shareholders from tiered, front-end-loaded tender offers, these provisions have largely evolved</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">into anti-takeover devices through the imposition of supermajority vote provisions and high premium requirements.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock examines proposals involving fair price provisions and generally votes in favor of those that appear designed to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">protect minority shareholders, but against those that appear designed to impose barriers to transactions or are otherwise</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">against the economic interests</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">of shareholders.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Increase in authorized common shares</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock considers industry specific norms in our analysis of these proposals, as well as a company&#146;s history with respect</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">to the use of its common shares. Generally, we are predisposed to support a company if the board believes additional</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">common shares are necessary to carry out the firm&#146;s business. The most substantial concern we might have with an</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">increase is the possibility of use of common shares to fund a poison pill plan that is not in the economic interests of</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">shareholders. Therefore, we generally do not support increases in authorized common shares where a company has no</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">stated use for the additional common shares and/or has a substantial amount of previously authorized common shares still</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">available for issue that is sufficient to allow the company to flexibly conduct its operations, especially if the company already</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">has a poison pill in place. We may also oppose proposals that include common shares with unequal voting rights.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Increase or issuance of preferred stock</FONT></B></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">These proposals generally request either authorization of a class of preferred stock or an increase in previously authorized</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">preferred stock. Preferred stock may be used to provide management with the flexibility to consummate beneficial</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">acquisitions, combinations or financings on terms not necessarily available via other means of financing. We generally</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">support these proposals in cases where the company specifies the voting, dividend, conversion and other rights of such</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">stock where the terms of the preferred stock</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">appear reasonable.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">However, we frequently oppose proposals requesting authorization of a class of preferred stock with unspecified voting,</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">conversion, dividend distribution and other rights (&#147;blank check&#148; preferred stock) because they may serve as a transfer of</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">authority from shareholders to the board and a possible entrenchment device. We generally view the board&#146;s discretion to</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">8</FONT></P>
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<P align="center"> <FONT color="#00599b" size=1 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock global corporate governance &amp; engagement principles</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">establish voting rights on a when-issued basis as a potential anti-takeover device, as it affords the board the ability to place</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">a block of stock with an investor sympathetic to management, thereby foiling a takeover bid without a shareholder vote.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Nonetheless, where the company appears to have a legitimate financing motive for requesting blank check authority, has</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">committed publicly that blank check preferred shares will not be used for anti-takeover purposes, has a history of using</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">blank check preferred stock for financings, or has blank check preferred stock previously outstanding such that an increase</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">would not necessarily provide further anti-takeover protection but may provide greater financing flexibility, we may support</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">the proposal.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Poison pill plans</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Also known as Shareholder Rights Plans, these plans generally involve issuance of call options to purchase securities in a</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">target firm on favorable terms. The options are exercisable only under certain circumstances, usually accumulation of a</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">specified percentage of shares in a relevant company or launch of a hostile tender offer. These plans are often adopted by</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">the board without being subject to shareholder vote.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Poison pill proposals generally appear on the proxy as shareholder proposals requesting that existing plans be put to a vote.</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">This vote is typically advisory and therefore non-binding. We generally vote in favor of shareholder proposals to rescind</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">poison pills.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Where a poison pill is put to a shareholder vote, our policy is to examine these plans individually. Although we oppose most</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">plans, we may support plans that include a reasonable 'qualifying offer clause.&#146; Such clauses typically require shareholder</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">ratification of the pill, and stipulate a sunset provision whereby the pill expires unless it is renewed. These clauses also tend</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">to specify that an all cash bid for all shares that includes a fairness opinion and evidence of financing does not trigger the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">pill, but forces either a special meeting at which the offer is put to a shareholder vote, or the board to seek the written</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">consent of shareholders where shareholders could rescind the pill in their discretion. We may also support a pill where it is</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">the only effective method for protecting tax or other economic benefits that may be associated with limiting the ownership</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">changes of</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">individual shareholders.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Stock splits and reverse stock splits</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We generally support stock splits that are not likely to negatively affect the ability to trade shares or the economic value of a</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">share. We generally support reverse splits that are designed to avoid delisting or to facilitate trading in the stock, where the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">reverse split will not have a negative impact on share value (e.g. one class is reduced while others remain at pre-split levels).</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">In the event of a proposal to reverse split that would not also proportionately reduce the company&#146;s authorized stock, we</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">apply the same analysis we would use for a proposal to increase authorized stock.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">9</FONT></P>
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<P align="center"> <FONT color="#00599b" size=1 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock global corporate governance &amp; engagement principles</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Remuneration and benefits</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We note that there are management and shareholder proposals related to executive compensation that appear on corporate ballots. We</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">generally vote on these proposals as described below, except that we typically oppose shareholder proposals on issues where the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">company already has a reasonable policy in place that we believe is sufficient to address the issue. We may also oppose a shareholder</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">proposal regarding executive compensation if the company&#146;s history suggests that the issue raised is not likely to present a problem for</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">that company.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Adopt advisory resolutions on compensation committee reports</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock generally opposes these proposals, put forth by shareholders, which ask companies to adopt advisory resolutions</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">on compensation committee reports (otherwise known as &#147;Say-on-Pay&#148;). We believe that compensation committees are in</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">the best position to make compensation decisions and should maintain significant flexibility in administering compensation</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">programs, given their knowledge of the wealth profiles of the executives they seek to incentivize, the appropriate</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">performance measures for the company, and other issues internal and/or unique to the company. In our view, shareholders</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">have a sufficient and much more powerful &#147;say-on-pay&#148; today in the form of director elections, in particular with regards to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">members of the compensation committee.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Advisory resolutions on compensation committee reports</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">In cases where there is an advisory vote on compensation put forth by management, BlackRock will respond to the proposal</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">as informed by our evaluation of compensation practices at that particular company, and in a manner that appropriately</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">addresses the specific question posed to shareholders. On the question of support or opposition to executive pay practices</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">our vote is likely to correspond with our vote on the directors who are compensation committee members responsible for</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">making compensation decisions. Generally we believe these matters are best left to the compensation committee of the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">board and that shareholders should not dictate the terms of executive compensation. Our preferred approach to managing</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">pay-for-performance disconnects is via a withhold vote for the compensation committee.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Claw back proposals</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Claw back proposals are generally shareholder sponsored and seek recoupment of bonuses paid to senior executives if those</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">bonuses were based on financial results that are later restated. We generally favor recoupment from any senior executive</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">whose compensation was based on faulty financial reporting, regardless of that particular executive&#146;s role in the faulty</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">reporting. We typically support these proposals unless the company already has a robust claw back policy that sufficiently</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">addresses our concerns.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">10</FONT></P>
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<P align="center"> <FONT color="#00599b" size=1 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock global corporate governance &amp; engagement principles</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Employee stock purchase plans</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">An employee stock purchase plan (&#147;ESPP&#148;) gives the issuer&#146;s employees the opportunity to purchase stock in the issuer,</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">typically at a discount to market value. We believe these plans can provide performance incentives and help align employees&#146;</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">interests with those of shareholders. The most common form of ESPP qualifies for favorable tax treatment under Section</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">423 of the Internal Revenue Code. Section 423 plans must permit all full-time employees to participate, carry restrictions on</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">the maximum number of shares that can be purchased, carry an exercise price of at least 85 percent of fair market value on</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">grant date with offering periods of 27 months or less, and be approved by shareholders. We will typically support qualified</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">ESPP proposals.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Equity compensation plans</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock supports equity plans that align the economic interests of directors, managers and other employees with those of</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">shareholders. Our evaluation of equity compensation plans in a post-expensing environment is based on a company&#146;s</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">executive pay and performance relative to peers and whether the plan plays a significant role in a pay-for-performance</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">disconnect. We generally oppose plans that contain &#147;evergreen&#148; provisions allowing for the ongoing increase of shares</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">reserved without shareholder approval. We also generally oppose plans that allow for repricing without shareholder</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">approval. Finally, we may oppose plans where we believe that the company is aggressively accounting for the equity</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">delivered through their stock plans.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Golden parachutes</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Golden parachutes provide for compensation to management in the event of a change in control. We generally view this as</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">encouragement to management to consider proposals that might be beneficial to shareholders. We normally support golden</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">parachutes put to shareholder vote unless there is clear evidence of excess or abuse.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We may also support shareholder proposals requesting that implementation of such arrangements require shareholder</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">approval. In particular, we generally support proposals requiring shareholder approval of plans that exceed 2.99 times an</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">executive&#146;s</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">current compensation.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Option exchanges</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock may support a request to exchange underwater options under the following circumstances: the company has</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">experienced significant stock price decline as a result of macroeconomic trends, not individual company performance;</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">11</FONT></P>
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<P align="center"> <FONT color="#00599b" size=1 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock global corporate governance &amp; engagement principles</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">directors and executive officers are excluded; the exchange is value neutral or value creative to shareholders; and there is</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">clear evidence that absent repricing the company will suffer serious employee incentive or retention and recruiting</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">problems.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Pay-for-performance plans</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">In order for executive compensation exceeding &#36;1 million to qualify for federal tax deductions, the Omnibus Budget</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Reconciliation Act (OBRA) requires companies to link that compensation, for the Company&#146;s top five executives, to disclosed</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">performance goals and submit the plans for shareholder approval. The law further requires that a compensation committee</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">comprised solely of outside directors administer these plans. Because the primary objective of these proposals is to</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">preserve the deductibility of such compensation, we generally favor approval in order to preserve net income.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Pay-for-superior-performance</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">These are typically shareholder proposals requesting that compensation committees adopt policies under which a portion of</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">equity compensation requires the achievement of performance goals as a prerequisite to vesting. We generally believe these</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">matters are best left to the compensation committee of the board and that shareholders should not set executive</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">compensation or dictate the terms thereof. We may support these proposals if we have a substantial concern regarding the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">company&#146;s compensation practices over a significant period of time, the proposals are not overly prescriptive, and we</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">believe the proposed approach is likely to lead to substantial improvement. However, our preferred approach to managing</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">pay-for-performance disconnects is via a withhold vote for the compensation committee.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Supplemental executive retirement plans</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock may support shareholder proposals requesting to put extraordinary benefits contained in Supplemental Executive</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Retirement Plans (&#147;SERP&#148;) agreements to a shareholder vote unless the company&#146;s executive pension plans do not contain</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">excessive benefits beyond what is offered under employee-wide plans.</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">Social, ethical and environmental issues</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">See Global Corporate Governance and Engagement Principles.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">12</FONT></P>
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<P align="center"> <FONT color="#00599b" size=1 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock global corporate governance &amp; engagement principles</FONT></P>
<P align="left"> <B><FONT color="#006bb4" face="AgencyFB-Bold,Arial,Helvetica,sans-serif">General corporate governance matters</FONT></B></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Adjourn meeting to solicit additional votes</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We generally support such proposals when the agenda contains items that we judge to be in shareholders&#146; best long-term</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">economic interests.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Bundled proposals</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We believe that shareholders should have the opportunity to review substantial governance changes individually without</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">having to accept bundled proposals. Where several measures are grouped into one proposal, BlackRock may reject certain</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">positive changes when linked with proposals that generally contradict or impede the rights and economic interests of</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">shareholders. The decision to support or oppose bundled proposals requires a balancing of the overall benefits and</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">drawbacks of each element of the proposal.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Change name of corporation</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We typically defer to management with respect to appropriate corporate names.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Confidential voting</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Shareholders most often propose confidential voting as a means of eliminating undue management pressure on shareholders</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">regarding their vote on proxy issues. We generally support proposals to allow confidential voting. However, we will usually</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">support suspension of confidential voting during proxy contests where dissidents have access to vote information and</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">management may face an unfair disadvantage.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Other business</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We oppose giving companies our proxy to vote on matters where we are not given the opportunity to review and understand</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">those measures and carry out an appropriate level of shareholder oversight.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Reincorporation</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Proposals to reincorporate from one state or country to another are most frequently motivated by considerations of anti-</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">takeover protections or cost savings. Where cost savings are the sole issue, we will typically favor reincorporating. In all</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">instances, we will evaluate the changes to shareholder protection under the new charter/articles/by-laws to assess</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">13</FONT></P>
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<P align="center"> <FONT color="#00599b" size=1 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">BlackRock global corporate governance &amp; engagement principles</FONT></P>
<P align="center"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">whether the move increases or decreases shareholder protections. Where we find that shareholder protections are</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">diminished, we will support reincorporation if we determine that the overall benefits outweigh the diminished rights.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Shareholders' right to call a special meeting or act by written consent</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">In exceptional circumstances and with sufficiently broad support, shareholders should have the opportunity to raise issues of</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">substantial importance without having to wait for management to schedule a meeting. We therefore believe that shareholders</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">should have the right to call a special meeting or to solicit votes by written consent in cases where a reasonably high</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">proportion of shareholders (typically a minimum of 15%) are required to agree to such a meeting/consent before it is called,</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">in order to avoid misuse of this right and waste corporate resources in addressing narrowly supported interests. However,</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">we may oppose this right in cases where the provision is structured for the benefit of a dominant shareholder to the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">exclusion of others.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Simple majority voting</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">We generally favor a simple majority voting requirement to pass proposals. Therefore we will support the reduction or the</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">elimination of supermajority voting requirements to the extent that we determine shareholders&#146; ability to protect their</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">economic interests is improved. Nonetheless, in situations where there is a substantial or dominant shareholder,</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">supermajority voting may be protective of public shareholder interests and we may therefore support supermajority</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">requirements in those situations.</FONT></P>
<P align="left"> <B><FONT color="#333333" face="Arial-BoldMT,Arial,Helvetica,sans-serif">Stakeholder provisions</FONT></B><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">Stakeholder provisions introduce the concept that the board may consider the interests of constituencies other than</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">shareholders when making corporate decisions. Stakeholder interests vary widely and are not necessarily consistent with</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">the best long-term economic interests of all shareholders, whose capital is at risk in the ownership of a public company. We</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">believe the board&#146;s fiduciary obligation is to ensure management is employing this capital in the most efficient manner so as</FONT><BR>
<BR>
<FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">to maximize shareholder value, and we oppose any provision that suggests the board should do otherwise.</FONT></P>
<P align="left"> <FONT color="#333333" size=2 face="AgencyFB-Reg,Arial,Helvetica,sans-serif">14</FONT></P>
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